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Time-varying effects of monetary and macroprudential policies: does high inflation matter?

Author

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  • Wildmer Daniel Gregori
  • Ângelo Ramos

Abstract

This paper studies empirically the effects of monetary and macroprudential policy shocks on key policy-relevant macroeconomic variables, namely credit, consumer price, and economic growth. The analysis relies on a Bayesian TVP-SVAR model with monthly frequency data in the period 2010-2022 for Portugal. Macroprudential policy shocks are based on two microfounded intensity indicators, for capital and borrower-based measures. Results show that a monetary policy tightening reduces credit growth, especially in periods of high inflation, suggesting a cross-policy effect. In addition, a macroprudential policy tightening does not lower macroeconomic aggregates, highlighting that the implemented measures did not disrupt credit or economic growth.

Suggested Citation

  • Wildmer Daniel Gregori & Ângelo Ramos, 2024. "Time-varying effects of monetary and macroprudential policies: does high inflation matter?," Working Papers w202401, Banco de Portugal, Economics and Research Department.
    • Handle: RePEc:ptu:wpaper:w202401
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    File URL: https://www.bportugal.pt/sites/default/files/documents/2024-02/WP202401_.pdf
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    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination

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