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Online supplement to “Macroprudential policies in CESEE – an intensity-adjusted approach”

Author

Listed:
  • Markus Eller

    (Oesterreichische Nationalbank, Foreign Research Division)

  • Reiner Martin

    (Joint Vienna Institute)

  • Helene Schuberth

    (Oesterreichische Nationalbank)

  • Lukas Vashold

    (Vienna University of Economics and Business)

Abstract

This appendix provides additional information on several aspects of the paper “Macroprudential policies in CESEE – an intensity-adjusted approach” published in Focus on European Economic Integration Q2/20: (1) a detailed overview of the data sources used for the construction of the intensity-adjusted macroprudential policy index (MPPI) covering eleven EU countries in Central, Eastern and Southeastern Europe (CESEE) from 1997 to end-2018 on a quarterly basis, (2) details on the categorization of the different macroprudential policy measures and the applied weighting rules, and (3) a number of charts illustrating how individual subindices of the MPPI evolved by country over time. The data underlying the MPPI are available from the authors upon request. Extensions of the countries covered and regular updates will be part of future efforts.

Suggested Citation

  • Markus Eller & Reiner Martin & Helene Schuberth & Lukas Vashold, 2020. "Online supplement to “Macroprudential policies in CESEE – an intensity-adjusted approach”," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q2/20.
    • Handle: RePEc:onb:oenbfi:y:2020:i:q2/20:b:2
    as

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    File URL: https://www.oenb.at/dam/jcr:a928c04a-661c-4965-ba31-efa8ec8acf0d/eller_online_supplement_feei_2_20.pdf
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    References listed on IDEAS

    as
    1. Budnik, Katarzyna & Kleibl, Johannes, 2018. "Macroprudential regulation in the European Union in 1995-2014: introducing a new data set on policy actions of a macroprudential nature," Working Paper Series 2123, European Central Bank.
    2. Jérôme Vandenbussche & Ursula Vogel & Enrica Detragiache, 2015. "Macroprudential Policies and Housing Prices: A New Database and Empirical Evidence for Central, Eastern, and Southeastern Europe," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(S1), pages 343-377, March.
    3. Zohair Alam & Mr. Adrian Alter & Jesse Eiseman & Mr. Gaston Gelos & Mr. Heedon Kang & Mr. Machiko Narita & Erlend Nier & Naixi Wang, 2019. "Digging Deeper--Evidence on the Effects of Macroprudential Policies from a New Database," IMF Working Papers 2019/066, International Monetary Fund.
    4. Urszula Kochanska, 2017. "The ESRB macroprudential measures database," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Data needs and Statistics compilation for macroprudential analysis, volume 46, Bank for International Settlements.
    Full references (including those not matched with items on IDEAS)

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