Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/283515 
Year of Publication: 
2023
Series/Report no.: 
ESRB Working Paper Series No. 145
Publisher: 
European Systemic Risk Board (ESRB), European System of Financial Supervision, Frankfurt a. M.
Abstract: 
We estimate the causal effects of macroprudential policies on the entire distribution of GDP growth for advanced European economies using a narrative-identification strategy in a quantile-regression framework. While macroprudential policy has near-zero effects on the centre of the GDP-growth distribution, tighter policy brings benefits by reducing the variance of future growth, significantly boosting the left tail while simultaneously reducing the right. Assessing a range of channels through which these effects materialise, we find that macroprudential policy particularly operates through 'credit-at-risk': it reduces the right tail of future credit growth, dampening booms, in turn reducing the likelihood of extreme GDP-growth outturns.
Subjects: 
Growth-at-Risk
Macroprudential Policy
Narrative Identification
Quantile Local Projections
JEL: 
E32
E58
G28
Persistent Identifier of the first edition: 
ISBN: 
978-92-9472-332-1
Document Type: 
Working Paper

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