The Impact of Macroprudential Policy Instruments on Financial Stability in Southern Europe
Author:
Lorenčič Eva1, Festić Mejra2
Affiliation:
1. PhD Candidate at the University of Maribor , Faculty of Economics and Business , Slovenia and Expert in Basel Measurement and Reporting at Credit Suisse Group AG , Zürich , Switzerland , eva.lorencic@credit-suisse.com 2. University of Maribor , Faculty of Economics and Business , Slovenia
Abstract
Abstract
This paper is a contribution to the body of research examining the impact of macroprudential policy instruments on financial stability. The following hypothesis was tested (H1): Macroprudential policy instruments (household borrowing costs; interbank loans as a percentage of total loans; loan to deposit ratio; leverage ratio; and solvency ratio) enhance financial stability, as measured by credit growth, in four southern European economies (Greece, Italy, Portugal and Spain) from Q4 2010 to Q4 2018. The empirical results of this study suggest that, of the investigated macroprudential policy instruments, household borrowing costs, interbank loans as a percentage of total loans and loan to deposit ratio exhibit the predicted impact on credit growth rate. Leverage ratio and solvency ratio do not exhibit the expected impact on the response variable. Moreover, only three out of the five explanatory variables are statistically significant in the model. Consequently, it is not possible to confirm or reject the hypothesis based on the available data and results.
Publisher
Walter de Gruyter GmbH
Subject
Industrial and Manufacturing Engineering,General Agricultural and Biological Sciences,General Business, Management and Accounting,Materials Science (miscellaneous),Business and International Management
Reference64 articles.
1. Akinci, O., Olmstead-Rumsey, J. (2018). How effective are macroprudential policies? An empirical investigation. Journal of Financial Intermediation, 33, 33-57. http://doi.org/10.1016/j.jfi.2017.04.00110.1016/j.jfi.2017.04.001 2. Alam, Z., Alter, A., Eiseman, J., Gelos, G., Kang, H., Narita, M., Nier, E., Wang, N. (2019). Digging Deeper – Evidence on the Effects of Macroprudential Policies from a New Database. IMF Working Paper, WP/19/66.10.5089/9781498302708.001 3. Allison, P. (2009). Fixed Effects Regression Models. Thousand Oaks, CA: Sage Publications. ISBN 978-0761924975.10.4135/9781412993869 4. Alper, K., Binici, M., Demiralp, S., Kara, H., Ozlu, P. (2014). Reserve Requirements, Liquidity Risk, and Credit Growth. Working Paper No.14/24. Central Bank of the Republic of Turkey. Retrieved from https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Research/Working+Paperss/2014/14-24. 5. Altunbas, Y., Binici, M., Gambacorta, L. (2017). Macroprudential policy and bank risk. Bank for International Settlements: BIS Working Papers No.646.
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
|
|