Author:
ALAM ZOHAIR,ALTER ADRIAN,EISEMAN JESSE,GELOS GASTON,KANG HEEDON,NARITA MACHIKO,NIER ERLEND,WANG NAIXI
Abstract
AbstractThis paper introduces a comprehensive database of macroprudential policies, which covers 134 countries from January 1990. Using a novel numerical indicator of the tightness of loan‐to‐value (LTV) regulations, we estimate the policy effects of incremental tightening in LTV limits, employing a propensity score–based method to address endogeneity concerns. The results point to economically significant and nonlinear effects on household credit, with a declining per‐unit impact for larger tightening measures. The analysis indicates that policy leakage effects could be a factor behind the nonlinear effects. We finally find that the side effects of macroprudential policies on consumption and output are relatively small.
Subject
Economics and Econometrics,Finance,Accounting