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Macroprudential Policy Spillovers.

Author: Heedon Kang; Francis Vitek; Rina Bhattacharya
Publisher: Washington, D.C. : International Monetary Fund, 2017.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This paper analyzes cross-border macrofinancial spillovers from a variety of macroprudential policy measures, using a range of quantitative methods. Event study and panel regression analyses find that liquidity and sectoral macroprudential policy measures often affect cross-border bank credit, whereas capital measures do not. This empirical evidence is stronger for tightening than for loosening measures, is  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Kang, Heedon.
Macroprudential Policy Spillovers.
Washington, D.C. : International Monetary Fund, ©2017
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Heedon Kang; Francis Vitek; Rina Bhattacharya
ISBN: 9781484313145 1484313143
OCLC Number: 1001383771
Notes: I. Case StudiesII. Panel Regression Analysis.
Description: 1 online resource (46 pages)
Contents: Cover; CONTENTS; I. INTRODUCTION; II. KEY CONCEPTS; III. LITERATURE REVIEW; IV. EMPIRICAL ANALYSIS; A. Transmission Channels; B. The Data; C. Event Study Analysis; D. Panel Regression Analysis; V. STRUCTURAL ANALYSIS; A. Transmission Channels; B. Simulation Results; C. Discussion; VI. CONCLUSION; REFERENCES; FIGURES; 1. Cross-Border Bank Credit Leakage and Reallocation Effects; 2. Cross-Border Bank Credit Changes after Macroprudential Policy Tightening; 3. Macroprudential Policy Tightening and Loosening Measures; 4. Bilateral Bank Lending and Nonfinancial Private Sector Borrowing Exposures. 5. Cluster Analysis of Bilateral Lending and Borrowing Networks6. Impulse Responses to a Unit CCB Increase; 7. Macrofinancial Spillovers from CCB Adjustments; 8. Impulse Responses to a Unit MLTVL Reduction; 9. Macrofinancial Spillovers from MLTVL Adjustments; 10. Impulse Responses to a Unit CLTVL Reduction; 11. Macrofinancial Spillovers from CLTVL Adjustments; 12. Cross-Border Bank Loans from Advanced Europe to the CESEE Countries; 13. Cross-Border Bank Loans from Sweden to the Baltic Countries; TABLES; 1. Event Shares and Two-Sample Proportion Test Results, Full Sample. 2. Event Shares and Two-Sample Proportion Test Results, Excluding the GFC3. Event Shares and Two-Sample Proportion Test Results, CESEE Countries; 4. Hypothesis Test Results, Baseline Model Specification; 5. Hypothesis Test Results, Full versus European Country Sample; 6. Hypothesis Test Results, Interactive Model Specification; 7. Panel Regression Variable Definitions; 8. Panel Regression Estimation Results, Baseline Model Specification; 9. Panel Regression Estimation Results, European Countries; 10. Panel Regression Estimation Results, Interactive Model Specification; APPENDICES.

Abstract:

This paper analyzes cross-border macrofinancial spillovers from a variety of macroprudential policy measures, using a range of quantitative methods. Event study and panel regression analyses find that liquidity and sectoral macroprudential policy measures often affect cross-border bank credit, whereas capital measures do not. This empirical evidence is stronger for tightening than for loosening measures, is distributed across credit leakage and reallocation effects, and is generally regionally concentrated. Consistently, structural model based simulation analysis indicates that output and bank credit spillovers from sectoral macroprudential policy shocks are generally small worldwide, but are regionally concentrated and economically significant for countries connected by strong trade or financial linkages. This simulation analysis also indicates that countercyclical capital buffer adjustments have the potential to generate sizeable regional spillovers.

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