Macroprudential Policy Spillovers: A Quantitative Analysis

46 Pages Posted: 5 Sep 2017

See all articles by Heedon Kang

Heedon Kang

International Monetary Fund (IMF)

Francis Vitek

International Monetary Fund (IMF)

Rina Bhattacharya

International Monetary Fund (IMF)

Phakawa Jeasakul

International Monetary Fund (IMF)

Naixi Wang

University of Oxford - Said Business School

Sònia Muñoz

International Monetary Fund (IMF)

Rasool Zandvakil

International Monetary Fund (IMF)

Date Written: July 2017

Abstract

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

Keywords: Macroprudential policy; Macrofinancial spillovers; Event studies; Panel regressions; Structural models; Case studies, Macroprudential policy, Macrofinancial spillovers, Event studies, Panel regressions, Structural models, Case studies, International Policy Coordination and Transmission, Government Policy and Regulation

JEL Classification: F42, G21, G28

Suggested Citation

Kang, Heedon and Vitek, Francis and Bhattacharya, Rina and Jeasakul, Phakawa and Wang, Naixi and Muñoz, Sònia and Zandvakil, Rasool, Macroprudential Policy Spillovers: A Quantitative Analysis (July 2017). IMF Working Paper No. 17/170, Available at SSRN: https://ssrn.com/abstract=3030761

Heedon Kang (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Francis Vitek

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Rina Bhattacharya

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

Phakawa Jeasakul

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Naixi Wang

University of Oxford - Said Business School ( email )

Park End Street
Oxford, OX1 1HP
Great Britain

Sònia Muñoz

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Rasool Zandvakil

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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