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Open AccessArticle

Estimation of Effects of Recent Macroprudential Policies in a Sample of Advanced Open Economies

1
Department of Economics, University of Oslo, 0315 Oslo, Norway
2
The Financial Supervisory Authority of Norway, 0107 Oslo, Norway
*
Author to whom correspondence should be addressed.
Int. J. Financial Stud. 2019, 7(2), 23; https://doi.org/10.3390/ijfs7020023
Received: 10 January 2019 / Revised: 22 April 2019 / Accepted: 29 April 2019 / Published: 8 May 2019
We used a time-series cross-section dataset to test several hypotheses pertaining to the role of macroprudential policy instruments in the management of the financial cycle in advanced open economies. The short-run effects are most significant for caps on loan to value and income (LTV and LTI) and risk weights (RW). The long-run coefficients of credit growth with respect to the indicators of amortisation requirements (Amort) and RW are also significant. The estimation results when house price growth is the dependent variable are consistent with these results. Our findings do not support that Basel III type countercyclical buffer (CCyB) has affected credit growth, and we suggest that the variable is mainly a control in our dataset. In that interpretation, it is interesting that the estimated coefficients of the other instruments are robust with respect to exclusion of CCyB from the empirical models. The main results are also robust to controls in the form of impulse indicator saturation (IIS), which we employed as a novel estimation method for macro panels. View Full-Text
Keywords: macroprudential policy measures; house prices; credit growth; open economies; cross-section time-series; macro panel; impulse indicator saturation; robust estimation macroprudential policy measures; house prices; credit growth; open economies; cross-section time-series; macro panel; impulse indicator saturation; robust estimation
MDPI and ACS Style

Nymoen, R.; Pedersen, K.; Sjåberg, J.I. Estimation of Effects of Recent Macroprudential Policies in a Sample of Advanced Open Economies. Int. J. Financial Stud. 2019, 7, 23.

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