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Paper #1590

Títol:
Global financial cycle, household credit, and macroprudential policies
Autors:
Mircea Epure, Irina Mihai, Camelia Minoiu i JosÚ-Luis Peydrˇ
Data:
Novembre 2017 (Revisió: Setembre 2021)
Resum:
We show that macroprudential policies dampen the impact of global financial conditions on local credit cycles. For identification, we exploit exogenous variation in the U.S. VIX and household and business credit registers in a small open economy, where banks depend on foreign funding and macroprudential measures vary over a full boom-bust cycle. When the VIX is low, tighter macroprudential policies (i) reduce household lending, notably for riskier (FX and high DSTI) loans and by banks dependent on foreign funding, (ii) increase local currency lending to real-estate firms, and (iii) dampen house prices and economic activity in areas with higher FX-loans.
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
Comentari:
Titled before: Household credit, global financial cycle, and macroprudential policies: credit register evidence from an emerging country

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