全球智库信息集成服务系统(G2TT): DP13124 The Costs of Macroprudential Policy

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP13124
	DP13124 The Costs of Macroprudential Policy
	Björn Richter; Moritz Schularick; Ilhyock Shim
发表日期	2018-08-18
出版年	2018
语种	英语
摘要	Central banks increasingly rely on macroprudential measures to manage the financial cycle. However, the effects of such policies on the core objectives of monetary policy to stabilise output and inflation are largely unknown. In this paper we quantify the effects of changes in maximum loan-to-value (LTV) ratios on output and inflation. We rely on a narrative identification approach based on detailed reading of policy-makers’ objectives when implementing the measures. We find that over a four year horizon, a 10 percentage point decrease in the maximum LTV ratio leads to a 1.1% reduction in output. As a rule of thumb, the impact of a 10 percentage point LTV tightening can be viewed as roughly comparable to that of a 25 basis point increase in the policy rate. However, the effects are imprecisely estimated and the effect is only present in emerging market economies. We also find that tightening LTV limits has larger economic effects than loosening them. At the same time, we show that changes in maximum LTV ratios have substantial effects on credit and house price growth. Using inverse propensity weights to rerandomise LTV actions, we show that these effects are likely causal.
主题	International Macroeconomics and Finance ; Monetary Economics and Fluctuations
关键词	Macroprudential policy Loan-to-value ratios Local projections Narrative approach
URL	https://cepr.org/publications/dp13124
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/541928
推荐引用方式 GB/T 7714	Björn Richter,Moritz Schularick,Ilhyock Shim. DP13124 The Costs of Macroprudential Policy. 2018.