2018年-BIS国际清算银行_The_macroeconomic_effects_of_macroprudential_policy_50页_631kb

Summary of "The Macroeconomic Effects of Macroprudential Policy"

Core Content

This paper investigates the macroeconomic effects of macroprudential policies, with a focus on changes in maximum loan-to-value (LTV) ratios, across a panel of 56 countries from 1990Q1 to 2012Q2. The authors aim to understand how these policies, which are designed to stabilize the financial cycle, affect output and inflation, while also considering their impact on credit and house prices.

Main Points

1. Objective of the Study

• To quantify the effects of macroprudential measures, specifically LTV ratio changes, on output and inflation.
• To assess the causal impact of these measures by addressing identification challenges through a narrative approach.

2. Key Findings

• A 10 percentage point decrease in the maximum LTV ratio leads to a 1.1% reduction in output after four years.
• The effect is largely confined to emerging market economies (EMEs) and is not significant in advanced economies (AEs).
• The impact on inflation is small and close to zero in most specifications.
• Tightening LTV limits has larger economic effects than loosening them.
• Credit and house prices are significantly affected by LTV changes, with a reduction in credit and house prices following a tightening.

3. Methodology

• The study uses a narrative identification approach, relying on detailed policy objectives from official documents.
• A new dataset is constructed based on the Shim et al. (2013) database, focusing on quarterly changes in LTV ratios.
• The intensity-adjusted LTV change variable is introduced to capture the magnitude of policy actions, not just their direction (tightening or loosening).
• Inverse propensity weighting is used to mimic random allocation and assess the causal impact of LTV changes.
• Local projections are employed to trace the dynamic effects of macroprudential interventions over time.

4. Empirical Strategy

• The authors exclude policy actions primarily motivated by real objectives (e.g., GDP or inflation), retaining only those with financial objectives.
• They classify policy actions into real objectives (GDP, inflation, other) and financial objectives (house prices, total credit, housing credit, bank buffer, risk taking, FX borrowing, other).
• The study finds that most LTV actions are aimed at financial objectives, particularly house prices and credit growth.

5. Comparative Analysis

• The effect of a 10 percentage point LTV tightening is comparable in magnitude to a 25 basis point increase in the policy rate.
• The paper also notes that the effect of LTV changes on output is relatively small and imprecisely estimated, suggesting that macroprudential policies may be a complementary tool to monetary policy rather than a substitute.

6. Policy Implications

• Macroprudential policies, particularly LTV limits, can help dampen the financial cycle without significantly interfering with the core monetary policy goals of output and inflation stabilization.
• These policies are effective in reducing credit and house price growth, which in turn reduces the risk of financial crises.
• The results suggest that central banks may benefit from incorporating macroprudential tools into their policy toolkit to enhance financial stability.

Key Information

• JEL Classification: E58, G28
• Keywords: macroprudential policy, loan-to-value ratios, local projections, narrative approach
• Data Sources: BIS Databank, Shim et al. (2013) database
• Sample Size: 56 countries, 92 LTV actions
• Time Period: 1990Q1 to 2012Q2
• Methodology: Narrative identification, intensity-adjusted LTV variable, inverse propensity weighting, local projections
• Main Variables: Output (real GDP), inflation (CPI), credit variables (bank credit, housing credit), and policy variables (LTV changes, interest rates)

Conclusion

The paper concludes that macroprudential policies, particularly LTV ratio adjustments, have modest but measurable effects on output and inflation, primarily in emerging market economies. These policies are effective in containing credit and house price booms, and their use can be considered a complementary tool to monetary policy. The narrative approach used in the study allows for a more precise and causal assessment of the impact of macroprudential measures on economic activity and financial stability.