Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/331539 
Year of Publication: 
2025
Series/Report no.: 
IES Working Paper No. 20/2025
Publisher: 
Charles University in Prague, Institute of Economic Studies (IES), Prague
Abstract: 
This paper investigates the effectiveness of macroprudential policy across different phases of macro-financial cycles. Utilizing a panel threshold vector autoregression (PT-VAR) model, the study evaluates the asymmetric impacts of capital-based and borrower-based regulatory tools under varying conditions. The empirical analysis covers 43 countries from 2004 to 2023 and incorporates key macro-financial indicators such as real GDP, policy interest rates, credit-to-GDP ratio, house prices, inflation, and exchange rates. The results can be summarized in three key findings. First, the effects of macroprudential tightening differ substantially between below-and above-threshold regimes, underscoring the importance of the phase of the macro-financial cycles. Second, capital-based measures are particularly effective during below-threshold phases, curbing credit growth, house prices, and inflation, though they are associated with a relatively significant decline in real GDP growth. Third, borrower-based measures are most effective during above-threshold phases of the business cycle, where they help to contain house prices and inflation pressures, while having only muted effects on real GDP growth. These findings emphasize the critical role of timing and instrument choice in macroprudential policy design and contribute to the growing literature by providing robust evidence on the cyclical nature of policy effectiveness, offering important insights for regulatory strategy.
Subjects: 
Macroprudential policy
Macro-financial cycles
Panel threshold VAR
Systemic risk
JEL: 
C33
E32
E44
E58
G21
Document Type: 
Working Paper

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