| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16889 |
| DP16889 Spillovers at the Extremes: The Macroprudential Stance and Vulnerability to the Global Financial Cycle | |
| Anusha Chari; Kristin Forbes | |
| 发表日期 | 2022-01-12 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | The effects of macroprudential policy on portfolio flows vary considerably across the global financial cycle. A tighter ex-ante macroprudential stance amplifies the impact of global risk shocks on bond and equity flows, increasing outflows significantly more during risk-off episodes and increasing inflows significantly more during risk-on episodes. These amplification effects are more prominent at the “extremes,” especially for extreme risk-off periods and for regulations that target specific risks instead of generalized cyclical buffers. This paper estimates these relationships using a policy-shocks approach that corrects for reverse causality by combining high-frequency risk measures with weekly data on portfolio investment and a new measure of macroprudential regulations that captures the intensity of policy stances. Overall, the results support a growing body of evidence that macroprudential regulation can reduce the volume and volatility of bank flows but shift risks in ways that aggravate vulnerabilities in other parts of the financial system. |
| 主题 | International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Macroprudential policy Risk-on Risk-off Sudden stops Global financial cycle |
| URL | https://cepr.org/publications/dp16889 |
| 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/545817 |
| 推荐引用方式 GB/T 7714 | Anusha Chari,Kristin Forbes. DP16889 Spillovers at the Extremes: The Macroprudential Stance and Vulnerability to the Global Financial Cycle. 2022. |
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