The impact of macroprudential policies: an empirical analysis using credit registry data (2015-16)

One of the main challenges for the implementation of a new framework for financial stability is evaluating the effectiveness of macroprudential policies (MPPs). Most of the evidence produced so far has been obtained using aggregate bank-level data, in which it is not possible to clearly disentangle supply and demand effects.

This project, which started in March 2015, studies the effectiveness of MPPs and their interaction with monetary policy using micro data at the bank-client level. In particular, the use of credit register data allows the evaluation of the effects of MPPs on lending, bank risk-taking, and spillover effects outside banking.

The project also analyses how MPPs' effectiveness can be affected by monetary policy and business cycle conditions, and if there are differential effects of MPPs by type of bank.

Each central bank of the Consultative Council of the Americas developed its own analysis, using a similar methodology to enhance the comparability of the results. The main results of the project were summarised in a joint paper.

Leonardo Gambacorta of the BIS is the project's Research Adviser.

Meetings

Workshop of the BIS CCA CGDFS Working Group on "The impact of macroprudential policies: an empirical analysis using credit registry data", Mexico City, 27-28 August 2015

Closing conference of the BIS CCA CGDFS Working Group on "The impact of macroprudential policies: an empirical analysis using credit registry data", Mexico City, 13-14 June 2016

Papers

Macroprudential Policies in Peru: The effects of Dynamic Provisioning and Conditional Reserve Requirements by Elias Minaya, José Lupú and Miguel Cabello

Credit supply responses to reserve requirement: loan-level evidence from macroprudential policy by João Barata R B Barroso, Rodrigo Barbone Gonzalez and Bernardus F Nazar Van Doornik

Loan-to-value policy and housing finance: effects on constrained borrowers by Douglas Kiarelly Godoy de Araujo, João Barata R B Barroso and Rodrigo Barbone Gonzalez

Capital and currency-based macroprudential policies: an evaluation using credit registry data by Horacio A Aguirre and Gastón Repetto

The impact of macroprudential policies and their interaction with monetary policy: an empirical analysis using credit registry data by Leonardo Gambacorta and Andrés Murcia Pabón

Prudential policies and their impact on credit in the United States by Paul Calem, Ricardo Correa and Seung Jung Lee

Evaluating the impact of macroprudential policies on credit growth in Colombia by Esteban Gómez, Angélica Lizarazo, Juan Carlos Mendoza and Andrés Murcia Pabón

The impact of warnings published in a financial stability report on loan-to value ratios by Andrés Alegría, Rodrigo Alfaro and Felipe Córdova

The impact of macroprudential housing finance tools in Canada by Jason Allen, Timothy Grieder, Tom Roberts and Brian Peterson