Global financial cycle, household credit, and macroprudential policies
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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 2024-11-14T10:09:47Z
- dc.date.available 2024-11-14T10:09:47Z
- dc.date.issued 2017-11-29
- dc.date.modified 2024-11-14T10:05:48Z
- dc.description.abstract We show that macroprudential policies dampen the impact of global financial conditions on local bank credit cycles. For identification, we exploit variation in the U.S. VIX and household and business credit registers in an emerging market economy where banks depend on foreign funding and macroprudential measures vary over the full cycle. Our results suggest that when the VIX is low, tighter macroprudential policies reduce household lending, notably for riskier (FX and high DSTI) loans and by banks dependent on foreign funding. Moreover, they increase (less regulated) local currency lending to real estate firms, while leaving business lending to other firms unchanged. Such periods are associated with less subsequent total lending to households and firms and with a lower share of FX loans at the local level. Consistently, when the VIX is low, tighter macroprudential policies dampen house prices and economic activity.
- dc.format.mimetype application/pdf*
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1590
- dc.identifier.citation
- dc.identifier.uri http://hdl.handle.net/10230/33884
- 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.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- 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.title Global financial cycle, household credit, and macroprudential policies
- dc.title.alternative
- dc.type info:eu-repo/semantics/workingPaper