全球智库信息集成服务系统(G2TT): Spillovers at the Extremes: The Macroprudential Stance and Vulnerability to the Global Financial Cycle

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w29670
来源ID	Working Paper 29670
	Spillovers at the Extremes: The Macroprudential Stance and Vulnerability to the Global Financial Cycle
	Anusha Chari; Karlye Dilts Stedman; Kristin Forbes
发表日期	2022-01-24
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	Macroeconomics ; Monetary Policy ; International Economics ; International Finance ; Financial Economics ; Financial Markets ; Financial Institutions
URL	https://www.nber.org/papers/w29670
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/587344
推荐引用方式 GB/T 7714	Anusha Chari,Karlye Dilts Stedman,Kristin Forbes. Spillovers at the Extremes: The Macroprudential Stance and Vulnerability to the Global Financial Cycle. 2022.

条目包含的文件
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w29670.pdf（1121KB）	智库出版物		限制开放	CC BY-NC-SA	浏览