"This paper introduces a new comprehensive database of macroprudential policies, which combines information from various sources and covers 134 countries from January 1990 to December 2016. Using these data, the authors first confirm that loan-targeted instruments have a significant impact on household credit, and a milder, dampening effect on consumption. Next, they exploit novel numerical information on loan-to-value (LTV) limits using a propensityscore-based method to address endogeneity concerns. The results point to economically significant and nonlinear effects, with a declining impact for larger tightening measures. Moreover, the initial LTV level appears to matter; when LTV limits are already tight, the effects of additional tightening on credit is dampened while those on consumption are strengthened."--Abstract.

• Cover
• Digging Deeper--Evidence on the Effects of Macroprudential Policies from a New Database
  • I. INTRODUCTION
  • II. INTEGRATED MACROPRUDENTIAL POLICY DATABASE
  • III. REVISITING STANDARD REGRESSION ANALYSES
  • IV. QUANTIFYING THE EFFECTS OF PERCENTAGE-POINT CHANGES IN THE LTV LIMITS
  • V. CONCLUSIONS
  • APPENDIX I. THE IMAPP DATABASE
  • APPENDIX II. CONSTRUCTING THE AVERAGE LTV LIMIT
  • APPENDIX III. ATTENUATION BIAS IN A STANDARD REGRESSION ANALYSIS
  • APPENDIX IV. DATA FOR THE PANEL REGRESSION ANALYSIS WITH DUMMY-TYPE INDICATORS
  • APPENDIX V. ROBUSTNESS OF THE PANEL REGRESSION RESULTS WITH DUMMY-TYPE INDICATORS
  • APPENDIX VI. AIPW ESTIMATION
  • APPENDIX VII: QUANTIFYING THE EFFECTS OF LTV CHANGES
  • APPENDIX VIII. TABLES—REGRESSION ANALYSIS
  • References