Paper #1590

Títol:

Global financial cycle, household credit, and macroprudential policies

Autors:

Mircea Epure, Irina Mihai, Camelia Minoiu i José-Luis Peydró

Data:

Novembre 2017

Resum:

We show that macroprudential policies dampen the impact of global financial conditions on local bank credit cycles. For identification, we exploit variation in the U.S. VIX and household and business credit registers in an emerging market economy where banks depend on foreign funding and macroprudential measures vary over the full cycle. Our results suggest that when the VIX is low, tighter macroprudential policies reduce household lending, notably for riskier (FX and high DSTI) loans and by banks dependent on foreign funding. Moreover, they increase (less regulated) local currency lending to real estate firms, while leaving business lending to other firms unchanged. Such periods are associated with less subsequent total lending to households and firms and with a lower share of FX loans at the local level. Consistently, when the VIX is low, tighter macroprudential policies dampen house prices and economic activity.

Paraules clau:

macroprudential policies, global financial cycle, cross-border spillovers, household credit, bank loans

Codis JEL:

E58, F0, F40, G21, G28, D14

Àrea de Recerca:

Direcció d'Empesa i Estudis de les Organitzacions / Finances i Comptabilitat

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