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Household credit, global financial cycle, and macroprudential policies: credit register evidence from an emerging country

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dc.contributor.author Epure, Mircea
dc.contributor.author Mihai, Irina
dc.contributor.author Minoiu, Camelia
dc.contributor.author Peydró, José-Luis
dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.accessioned 2020-05-25T09:26:56Z
dc.date.available 2020-05-25T09:26:56Z
dc.date.issued 2017-11-29
dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1590
dc.identifier.uri http://hdl.handle.net/10230/33884
dc.description.abstract We analyze the effects of macroprudential policies on local bank credit cycles and their interactions with international financial conditions. To this end, we exploit the comprehensive credit register containing all bank loans to individuals in Romania, a small open economy subject to external shocks. Our sample period from 2004 until 2012 covers a full boom-bust credit cycle during which a wide range of macroprudential measures were deployed. Our results show that tighter macroprudential conditions are associated with a significant decline in household credit, with substantially stronger effects for FX loans than for local currency loans. The effects on FX loans are higher for: (i) ex-ante riskier borrowers proxied by higher debt-service-to-income ratios and (ii) banks with greater reliance on foreign funding. Furthermore, tighter macroprudential policy has stronger dampening effects on FX lending when global risk appetite is high and foreign monetary policy is expansionary. Quantitative effects are in general larger for borrower rather than lender macroprudential policies. Overall, the results suggest that macroprudential policies are effective in mitigating bank risk-taking in household lending over the local bank credit and global financial cycles and have important implications for theory and policy.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries Economics and Business Working Papers Series; 1590
dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title Household credit, global financial cycle, and macroprudential policies: credit register evidence from an emerging country
dc.type info:eu-repo/semantics/workingPaper
dc.date.modified 2020-05-25T09:25:27Z
dc.subject.keyword macroprudential policies
dc.subject.keyword global financial cycle
dc.subject.keyword cross-border spillovers
dc.subject.keyword household credit
dc.subject.keyword bank loans
dc.subject.keyword Management and Organization Studies
dc.subject.keyword Finance and Accounting
dc.rights.accessRights info:eu-repo/semantics/openAccess


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