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Assessment of the effectiveness of the macroprudential measures implemented in the context of the Covid-19 pandemic

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  • Lucas Avezum

Abstract

In this paper we assess the effectiveness of the macroprudential capital buffers’ release on loans granted to households, implemented in the context of the Covid-19 pandemic. We obtain causal estimates by exploring differences in the availability of regulatory buffers prior to the pandemic shock among European countries and accounting for the time-varying effect of unobservable confounding variables with the synthetic control method. We find evidence that the buffers releases contributed, on average, to mitigate the procyclicality of credit to households, specifically for house purchase and for small businesses purposes. For the aggregate household lending, we find that the average treatment effect for both the release of the CCyB and that of the SyRB were positive. However, the results suggest that, for credit associated to small businesses purposes, only the release of the CCyB had an effect.

Suggested Citation

  • Lucas Avezum, 2021. "Assessment of the effectiveness of the macroprudential measures implemented in the context of the Covid-19 pandemic," Working Papers w202107, Banco de Portugal, Economics and Research Department.
    • Handle: RePEc:ptu:wpaper:w202107
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    References listed on IDEAS

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    Cited by:

    1. Dursun-de Neef, H． Özlem & Schandlbauer, Alexander & Wittig, Colin, 2023. "Countercyclical capital buffers and credit supply: Evidence from the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 154(C).
    2. Mathur, Aakriti & Naylor, Matthew & Rajan, Aniruddha, 2023. "Useful, usable, and used? Buffer usability during the Covid-19 crisis," Bank of England working papers 1011, Bank of England.

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    More about this item

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • H12 - Public Economics - - Structure and Scope of Government - - - Crisis Management

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