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Macroprudential Policies and Credit Volatility

Author

Listed:
  • Lorenzo Carbonari

    (Dipartimento di Economia e Finanza, Università degli Studi di Roma “Tor Vergata”, Italy; CEIS)

  • Alessio Farcomeni

    (Dipartimento di Economia e Finanza, Università degli Studi di Roma “Tor Vergata”, Italy)

  • Cosimo Petracchi

    (Dipartimento di Economia e Finanza, Università degli Studi di Roma “Tor Vergata”, Italy)

  • Giovanni Trovato

    (Dipartimento di Economia e Finanza, Università degli Studi di Roma “Tor Vergata”, Italy; CEIS)

Abstract

We present a model for data reduction and provide time-fixed indicators for macroprudential policies. Using a panel of 119 countries from 2000 to 2015, we empirically assess the effectiveness of macroprudential policies in reducing volatility in private credit. Unobserved heterogeneity among countries is an important factor. We employ an econometric model that accounts for this heterogeneity and document that the impact of macroprudential policies on financial stability varies, leading to either deterioration or improvement, depending on the macroeconomic conditions of the country in which they are implemented.

Suggested Citation

  • Lorenzo Carbonari & Alessio Farcomeni & Cosimo Petracchi & Giovanni Trovato, 2024. "Macroprudential Policies and Credit Volatility," Working Paper series 24-16, Rimini Centre for Economic Analysis.
    • Handle: RePEc:rim:rimwps:24-16
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    More about this item

    Keywords

    Macroprudential policies; Financial cycles; unobserved heterogeneity; Generalized additive models for location; scale and shape;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • 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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