2023-09-07-IMF-宏观审慎政策与金融周期资本管制（英）_45页_1mb

Summary of "Macroprudential Policies and Capital Controls Over Financial Cycles"

This paper assesses the effectiveness of macroprudential policies and capital controls in enhancing financial stability and resilience against credit booms turning into credit busts using a granular, cross-country dataset of 53 countries from 1996 to 2016.

Key Findings

• Macroprudential Policies are effective in reducing the probability of credit booms resulting in credit busts. Capital-based tools, loan-to-value (LTV) caps, debt-service-to-income (DTI) caps, and reserve requirements are particularly effective.
• Capital Controls on money market instruments, including cross-border interbank lending, are effective during credit booms accompanied by capital inflow surges but are less significant during normal credit booms.
• The effectiveness is tested through an econometric model that evaluates policy measures' impact on credit booms, considering both net and gross tightening, and including additional controls for global volatility and country development levels.

Policy Implications

• Countries should prioritize capital-based macroprudential tools, borrower-based tools such as DTI and LTV caps, and reserve requirements to build buffers in the financial system, reducing vulnerabilities during credit booms.
• Capital controls on short-term money market instruments should be implemented in tandem with macroprudential policies to mitigate risks during capital inflow surges.

Methodology

• A unique database combining various sources tracks policy changes across eight macroprudential measures and eight capital control types.
• Credit booms are identified based on changes in the credit-to-GDP ratio, and busts are defined as periods of sharp credit contraction.
• Event studies and probit models are used to quantify the impact of policy measures on reducing the likelihood of credit busts.

Conclusion

Macroprudential policies play a crucial role in mitigating the adverse effects of credit booms. Future research should explore country-specific characteristics and optimal sequencing of policy tools.