dc.contributor |
Universitat Pompeu Fabra. Departament d'Economia i Empresa |
dc.contributor.author |
Epure, Mircea |
dc.contributor.author |
Mihai, Irina |
dc.contributor.author |
Minoiu, Camelia |
dc.contributor.author |
Peydró, José-Luis |
dc.date |
2018 |
dc.identifier.citation |
https://econ-papers.upf.edu/ca/paper.php?id=1590 |
dc.identifier.uri |
http://hdl.handle.net/10230/33884 |
dc.format |
application/pdf |
dc.language.iso |
eng |
dc.relation |
Economics and Business Working Papers Series; 1590 |
dc.relation |
info:eu-repo/grantAgreement/ES/1PE/ECO2014-57131-R |
dc.relation |
info:eu-repo/grantAgreement/ES/1PE/ECO2015-68182-P |
dc.relation |
info:eu-repo/grantAgreement/ES/2PE/ECO2017-85763-R |
dc.relation |
info:eu-repo/grantAgreement/ES/1PE/SEV-2015-0563 |
dc.relation |
info:eu-repo/grantAgreement/EC/H2020/648398 |
dc.rights |
L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons |
dc.rights |
info:eu-repo/semantics/openAccess |
dc.rights |
http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
dc.subject |
Macroprudential policies |
dc.subject |
Global financial cycle |
dc.subject |
Cross-border spillovers |
dc.subject |
Household credit |
dc.subject |
Bank loans |
dc.subject |
Management |
dc.subject |
Finance and accounting |
dc.subject |
Organization studies |
dc.title |
Household credit, global financial cycle, and macroprudential policies: credit register evidence from an emerging country |
dc.type |
info:eu-repo/semantics/workingPaper |
dc.description.abstract |
We analyze the effects of macroprudential policies on local bank credit cycles and interactions with international financial conditions. For identification, we exploit the comprehensive credit register containing all bank loans to individuals in Romania, a small open economy subject to external shocks, and the period 2004-2012, which covers a full boom-bust credit cycle when a wide range of macroprudential measures were deployed. Although household leverage is known to be a key driver of financial crises, to our knowledge this is the first paper that employs a household credit register to study leverage and macroprudential policies over a full economic cycle. Our results show that tighter macroprudential conditions are associated with a significant decline in household credit, with substantially stronger effects for FX loans than for local currency loans. The effects on FX loans are higher for: (i) ex-ante riskier borrowers proxied by higher debt-service-to-income ratios and (ii) banks with greater exposure to foreign funding. Moreover, tighter macroprudential policy has stronger dampening effects on FX lending when global risk appetite is high and foreign monetary policy is expansionary. Finally, quantitative effects are in general larger for borrower rather than lender macroprudential policies. Overall, the results suggest that macroprudential policies are effective in mitigating bank risk-taking in household lending over the local bank credit and global financial cycles, and therefore have important implications for policy and bank risk management. |
dc.description.abstract |
This work received support from the Spanish Government through grants ECO2014-57131-R, ECO2015-68182-P, ECO2017-85763-R and SEV-2015-0563. José-Luis Peydró also acknowledges financial support from the European Research Council Grant (project 648398). |