Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257621 
Year of Publication: 
2019
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 7 [Issue:] 2 [Article No.:] 23 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-20
Publisher: 
MDPI, Basel
Abstract: 
We used a time-series cross-section dataset to test several hypotheses pertaining to the role of macroprudential policy instruments in the management of the financial cycle in advanced open economies. The short-run effects are most significant for caps on loan to value and income (LTV and LTI) and risk weights (RW). The long-run coefficients of credit growth with respect to the indicators of amortisation requirements (Amort) and RW are also significant. The estimation results when house price growth is the dependent variable are consistent with these results. Our findings do not support that Basel III type countercyclical buffer (CCyB) has affected credit growth, and we suggest that the variable is mainly a control in our dataset. In that interpretation, it is interesting that the estimated coefficients of the other instruments are robust with respect to exclusion of CCyB from the empirical models. The main results are also robust to controls in the form of impulse indicator saturation (IIS), which we employed as a novel estimation method for macro panels.
Subjects: 
macroprudential policy measures
house prices
credit growth
open economies
cross-section time-series
macro panel
impulse indicator saturation
robust estimation
JEL: 
C23
C44
C58
G28
G38
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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