Effectiveness and Channels of Macroprudential Instruments : Lessons from the Euro Area / Thierry Tressel, Yuanyan Zhang.

Format:

Book

Government document

Author/Creator:

Tressel, Thierry.

Contributor:

Zhang, Yuanyan.

Series:

IMF Working Papers; Working Paper ; No. 2016/004

IMF Working Papers

Language:

English

Physical Description:

1 online resource (33 pages)

Edition:

1st ed.

Place of Publication:

Washington, D.C. : International Monetary Fund, 2016.

Summary:

The crisis has highlighted the importance of setting up macro-prudential oversight frameworks, having effective macro-prudential instruments in place to be called upon to mitigate growing financial imbalances as needed. We develop a new approach using the euro area Bank Lending Survey to assess the effectiveness of macro-prudential policies in containing credit growth and house price appreciation in mortgage markets. We find instruments targeting the cost of bank capital most effective in slowing down mortgage credit growth, and that the impact is transmitted mainly through price margins, the same banking channel as monetary policy. Limits on loan-to-value ratios are also effective, especially when monetary policy is excessively loose.

Contents:

Cover

CONTENTS

ABSTRACT

I. INTRODUCTION

II. LITERATURE

III. METHODOLOGY AND DATA

A. Data

B. Framework

C. Methodology

IV. EMPIRICAL RESULTS

A. The Impact of Shocks to Banks' Balance Sheets on Credit and House Prices

B. The Impact of Balance Sheet Factors on Price and Non-Price Lending Standard

C. Interactions Between Monetary Policy and LTV Set by the Banking System

D. Evidence from Panel VARs

V. CONCLUSIONS

VI. REFERENCES

FIGURES

1. The Eurosystem Bank Lending Survey

2. Cumulative Net Tightening of LTVs since 2003/1

3. Evolution of Price and non-Price Lending Standard, By Country

4. Impulse-Responses of the Panel VAR Analysis

TABLES

1. Pairwise Correlation Among Components of Lending Standards and Credit Demand

2. Impact of Balance Sheet Contributions of Lending on Mortgage Loan Growth and on House Price Appreciation

3. Impact of Balance Sheet Factors on Price and non-Price Components of Lending Standards for Mortgage

4. Impact of Balance Sheet Factors on Price and non-Price Components of Lending Standards for Mortgage

5. Lending Standards and Mortgage Loan Growth

6. Lending Standards and House Price Appreciation

7. Interaction Between Monetary Policy and Lending Standards.

Notes:

Description based on publisher supplied metadata and other sources.

ISBN:

9781498317436

149831743X

9781498360364

149836036X

9781513564371

1513564374

OCLC:

941068840