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Assessing the effects of borrower-based macroprudential policy on credit in the EU using intensity-based indices

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  • Coulier, Lara
  • De Schryder, Selien

Abstract

We construct new intensity-adjusted indices of macroprudential policy announcements for 28 European Union (EU) economies. The indices are able to capture the restrictiveness and bindingness of the macroprudential policy actions and are used to assess the effectiveness of borrower-based macroprudential policy in reducing credit in the EU from 2003 to 2019. Our results indicate that these macroprudential tools have successfully reduced household, housing, and, to a smaller extent, consumption credit in the long run. Moreover, we find that the measured effects change by taking into account the various dimensions of the policy changes' intensity, including their legal enforceability.

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  • Coulier, Lara & De Schryder, Selien, 2024. "Assessing the effects of borrower-based macroprudential policy on credit in the EU using intensity-based indices," Journal of International Money and Finance, Elsevier, vol. 142(C).
    • Handle: RePEc:eee:jimfin:v:142:y:2024:i:c:s0261560624000093
    DOI: 10.1016/j.jimonfin.2024.103022
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    More about this item

    Keywords

    Macroprudential policy; Policy effectiveness; Household credit; Panel data analysis;
    All these keywords.

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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