Tightening and Loosening of Macroprudential Policy, Its Effects on Credit Growth and Implications for the COVID-19 Crisis

Abstract The aim of this paper is to investigate whether macroprudential policy instruments can influence the credit growth rate and hence financial stability. We use a fixed effects panel regression model to test the following hypothesis for six euro area economies (Austria, Finland, Germany, Italy, Netherlands and Spain) during time span 2010 Q3 to 2018 Q4: “Macroprudential policy instruments (degree of maturity mismatch; interbank loans as a percentage of total loans; leverage ratio; non-deposit funding as a percentage of total funding; loan-to-value ratio; loan-to-deposit ratio; solvency ratio) enhance financial stability, as measured by credit growth”. Our empirical results suggest that the degree of maturity mismatch, non-deposit funding as a percentage of total funding, loan-to-value ratio and loan-to-deposit ratio exhibit the predicted impact on the credit growth rate and therefore on financial stability. On the other hand, interbank loans as a percentage of total loans, leverage ratio, and solvency ratio do not exhibit the expected impact on the response variable. Since only four regressors (out of seven) have the signs predicted by our hypothesis, we can only partly confirm it.

Download Full-text

House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy

SSRN Electronic Journal ◽

10.2139/ssrn.2258465 ◽

2012 ◽

Cited By ~ 20

Author(s):

Paolo Gelain ◽

Kevin J. Lansing ◽

Caterina Mendicino

Keyword(s):

House Prices ◽

Macroprudential Policy ◽

Credit Growth ◽

Excess Volatility

Download Full-text

ANALISIS HUBUNGAN ANTARA KEBIJAKAN MAKROPRUDENSIAL DAN KEBIJAKAN MONETER TERHADAP PERTUMBUHAN KREDIT DI INDONESIA

Jurnal Kajian Ekonomi dan Pembangunan ◽

10.24036/jkep.v1i3.7718 ◽

2019 ◽

Vol 1 (3) ◽

pp. 911

Author(s):

Fajar Indanil Bakti ◽

Dewi Zaini Putri

Keyword(s):

Monetary Policy ◽

Causal Relationship ◽

Macroprudential Policy ◽

Credit Growth ◽

Vector Error ◽

Causality Relationship

This study examines the causal relationship beetwen macroprudential policy, and monetary policy on credit growth within a vector error corellations model (VECM) forIndonesia countries over the period November 2013 until Oktober 2018. The results of this study indicate that the macropruential policy and the credit growth does not have causality relationship, and the monetary policy and the credit growth has a causality relationship.

Download Full-text

House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy

10.24148/wp2012-11 ◽

2013 ◽

pp. 01-49 ◽

Cited By ~ 3

Author(s):

Paolo Gelain ◽

◽

Kevin J. Lansing ◽

Caterina Mendicino ◽

◽

...

Keyword(s):

House Prices ◽

Macroprudential Policy ◽

Credit Growth ◽

Excess Volatility

Download Full-text

Evaluation Of Macroprudential Policy On Credit Growth In Indonesia: Credit Registry Data Approach

ETIKONOMI ◽

10.15408/etk.v17i2.7324 ◽

2018 ◽

Vol 17 (2) ◽

pp. 199-212

Author(s):

Badara Shofi Dana

Keyword(s):

Warning System ◽

Registry Data ◽

Structural Vector Autoregression ◽

Analysis Method ◽

Macroprudential Policy ◽

Credit Growth ◽

Systemic Risks ◽

Structural Vector ◽

Mitigation Policies ◽

Prudential Policy

Macro-prudential policies have an essential role in mitigating the imbalances in the financial sector that stem from procyclical credit growth. This study aims to evaluate macro-prudential policy in mitigating risk on procyclical credit growth with a registry data approach. Structural Vector Autoregression (SVAR) analysis method is used to evaluate macro-prudential policy in influencing credit growth. The results show LTV instruments can reduce credit growth but not to procyclical mitigation. Dissimilar results in the implementation of CCB and GWM + LDR instruments are capable of procyclical credit mitigation. Policies that can be done by the central bank are the establishment of an early warning system in macro-prudential policy as well as strengthening of Countercyclical Buffer (CCB), Loan to Value (LTV) instruments and Minimum Reserve Requirement + Loan Funding Ratio (GWM + LFR) in capturing systemic risks from various sources which further strengthens the assessment and surveillance.DOI:10.15408/etk.v17i2.7324

Download Full-text

Macroprudential Policy and Practice

10.1017/9781108304429 ◽

2018 ◽

Cited By ~ 1

Keyword(s):

Macroprudential Policy ◽

Policy And Practice

Download Full-text

Macroprudential Policy Instruments of Central Banks

Voprosy Ekonomiki ◽

10.32609/0042-8736-2012-8-32-47 ◽

2012 ◽

pp. 32-47

Author(s):

S. Andryushin ◽

V. Kuznetsova

Keyword(s):

Systemic Risk ◽

Financial Stability ◽

Financial System ◽

Policy Instruments ◽

Central Banks ◽

Macroprudential Policy ◽

Policy Studies ◽

The Future ◽

Financial Cycles

The paper analyzes central banks macroprudencial policy and its instruments. The issues of their classification, option, design and adjustment are connected with financial stability of overall financial system and its specific institutions. The macroprudencial instruments effectiveness is evaluated from the two points: how they mitigate temporal and intersectoral systemic risk development (market, credit, and operational). The future macroprudentional policy studies directions are noted to identify the instruments, which can be used to limit the financial systemdevelopment procyclicality, mitigate the credit and financial cycles volatility.

Download Full-text

Pengaruh Likuiditas, Pertumbuhan Kredit, Efisiensi, dan Kecukupan Modal Terhadap Profitabilitas

Bulletin of Management and Business ◽

10.31328/bmb.v1i1.27 ◽

2020 ◽

Vol 1 (1) ◽

pp. 27-35

Author(s):

Lia Hendrawati ◽

Said Djamaludin

Keyword(s):

Stock Exchange ◽

Growth Efficiency ◽

Research Data ◽

Capital Adequacy ◽

Annual Data ◽

Significant Positive Effect ◽

Credit Growth ◽

Negative Effect ◽

Positive Effect ◽

Observation Period

This study to examine and analyze the effect of liquidity, credit growth, efficiency, and capital adequacy on the Bank’s profitability listed on the IDX partially and simultaneously. The research data are annual data for the 5-year observation period (2009-2013). This research was conducted at 33 banks listed on Indonesia Stock Exchange. Banks Analyzed that met the population criteria were 23 banks. The analytical method used in multiple linier regression. The results showed that liquidity, credit growth, efficiency, and capital adequacy together (simultaneously) significantly influence profitability. Partially, liquidity has a significant positive effect on profitability, while efficiency has a significant negative effect. Credit growth and capital adequacy have no significant effect on profitability. Liquidity is the variable that has the biggest effect on the Bank’s profitability.

Download Full-text