Scandinavian Working Papers in Economics

Memorandum,
Oslo University, Department of Economics

No 5/2018: Estimation of effects of recent macroprudential policies in a sample of advanced open economies

Ragnar Nymoen (), Kari Pedersen and Jon Ivar Sjåberg
Additional contact information
Ragnar Nymoen: Dept. of Economics, University of Oslo, Postal: Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway
Kari Pedersen: The Financial Supervisory Authority of Norway, Postal: Revierstredet 3, P.O.Box 1187 Sentrum , 0107 Oslo, Norway
Jon Ivar Sjåberg: The Financial Supervisory Authority of Norway, Postal: Revierstredet 3, P.O.Box 1187 Sentrum , 0107 Oslo, Norway, Norway

Abstract: We analyse a quarterly panel data set consisting of ten advanced open economies that have introduced macroprudential policy measures: caps on loan to value and income (LTV and LTI), and debt service to income (DSTI) requirements in particular, but also risk weights (RW), amortization (Amort) and, less used, countercyclical buffer (CCyB). Estimation of dynamic panel data models, that also include the central bank rate, and controls for common nominal and real trends, gives support to the view that several of the measures may have reduced credit growth when they were introduced.The estimated impact effects are most significant for LTV, LTI and RW. For Amort, the long-run effect on credit growth is significant, and the same is found for RW. The estimation results when house price growth is the dependent variable are in the main consistent with the results for credit growth. The results do not support that CCyB has reduced lending (as a consequence of higher financing costs), and we suggest that the variable is mainly a control in our data set. In that interpretation, it is interesting that the estimated coefficients of the other five instruments are robust with respect to exclusion of CCyB from the empirical models. The results are also robust to controls in the form of impulse indicator saturation (IIS).

Keywords: Macroprudential policy measures; house prices; credit growth; open economics; macro panel; impulse indicator saturation; robust estimation

JEL-codes: C23; C44; C58; G28; G38

13 pages, September 14, 2018

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