Effects of Macroprudential Policy: Evidence from Over 6,000 Estimates

IMF Working Paper WP/20/67

47 Pages Posted: 24 Jun 2020

See all articles by Juliana Araujo

Juliana Araujo

International Monetary Fund (IMF)

Manasa Patnam

International Monetary Fund (IMF)

Adina Popescu

International Monetary Fund (IMF)

Fabián Valencia

International Monetary Fund (IMF)

Weija Yao

International Monetary Fund

Multiple version iconThere are 2 versions of this paper

Date Written: June 2, 2020

Abstract

This paper builds a novel database on the effects of macro-prudential policy drawing from 58 empirical studies, comprising over 6,000 results on a wide range of instruments and outcome variables. It encompasses information on statistical significance, standardized magnitudes, and other characteristics of the estimates. Using meta-analysis techniques, the paper estimates average effects to find:

i) statistically significant effects on credit, but with considerable heterogeneity across instruments;

ii) weaker and more imprecise effects on house prices;

iii) quantitatively stronger effects in emerging markets and among studies using micro-level data; and

iv) statistically significant evidence of leakages and spillovers.

Other findings include relatively stronger impacts for tightening than loosening actions and negative effects on economic activity in the near term.

Keywords: Macroprudential Policy, Financial Stability, Meta-Analysis

JEL Classification: E28, G28

Suggested Citation

Araujo, Juliana and Patnam, Manasa and Popescu, Adina and Valencia, Fabian V. and Yao, Weija, Effects of Macroprudential Policy: Evidence from Over 6,000 Estimates (June 2, 2020). IMF Working Paper WP/20/67, Available at SSRN: https://ssrn.com/abstract=3616507 or http://dx.doi.org/10.2139/ssrn.3616507

Juliana Araujo

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Manasa Patnam

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Adina Popescu

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Fabian V. Valencia (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Weija Yao

International Monetary Fund ( email )

Kuwait

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