Effectiveness of Macroprudential Policies in Developing Asia: An Empirical Analysis

Before the 2008 global financial crisis, bank monitoring focused primarily on risks to individual institutions, or what are generally referred to as prudential risks. Regulators thus failed to consider that a buildup of macroeconomic risks and vulnerabilities could pose systemic risk to the financial sector. The global credit crisis showed the inadequacy of purely prudential surveillance systems and the need for bank supervisors to better detect the buildup of macroeconomic risks before they can threaten the financial system. This article presents an empirical framework for analyzing how effectively macroprudential policies control credit growth, leverage growth, and housing price appreciation. Two significant findings emerge. Broadly, macroprudential policies can indeed promote financial stability in Asia. More specifically, different types of macroprudential policies are proved effective for different types of macroeconomic risks.     

宏观审慎政策的国际协调问题研究--基于我国的DSGE模拟分析

本文在两国模型的DSGE框架下引入宏观审慎政策监管机制,把金融摩擦、国际资本流动和宏观审慎政策纳入同一个一般均衡分析框架。通过国际贸易和国际资本流动机制,考察宏观审慎政策的国际影响机制。基于我国的模拟分析结果表明,第一,对于我国来说,宏观审慎政策的国际合作不仅能够有效地应对国内经济冲击,也有助于抵御外部经济冲击。第二,我国推动构建国际宏观审慎政策长效合作机制,有助于积极应对国际资本流动,促进我国资本市场进一步开放。第三,我国宏观审慎政策存在国际溢出效应,但是对其他国家的影响并不明显。     

Macroprudential measures and developments in bank funding costs

In this paper, we study how the use of macroprudential policy instruments is associated with bank funding costs. To accomplish this, we develop several macroprudential indices based on policy objectives and include different macroeconomic and bank-level variables, while we also separately analyse the cost of debt and overall cost of funding. Our analysis relies on bank-level data in 43 European countries for the period between 2000 and 2017, and a macroprudential policy dataset based on an IMF survey. The results show the activation of macroprudential policies is chiefly related with lower bank funding costs, with this association being stronger for developed countries than emerging ones. The results also reveal positive links with certain macroprudential measures to bank cost of funding, offering further insight into the repercussions of calibrating and selecting macroprudential tools.     

The impact of macroprudential policies in Latin America: An empirical analysis using credit registry data

This paper summarises the results of a joint research project by five central banks in Latin America countries (Argentina, Brazil, Colombia, Mexico and Peru) to evaluate the effectiveness of macroprudential tools and their interaction with monetary policy. Using meta-analysis techniques, we summarise the results of a common empirical framework based on confidential bank-loan data. The main conclusions are that (i) macroprudential policies have been quite effective in stabilising credit cycles. The propagation of the effects to credit growth is more rapid for policies aimed at curbing the cycle than for policies aimed at fostering resilience; and (ii) macroprudential tools have a greater effect on credit growth when reinforced by the use of monetary policy.     

货币政策与宏观审慎政策的协调

本文在梳理学术文献和国际经验基础上,讨论了货币政策与宏观审慎政策之间的潜在冲突和协调机制。国际文献的初步结论是,为了同时实现价格稳定和金融稳定目标,大部分情况下需要货币政策与宏观审慎政策反向操作(由于政策的替代性),但有时也需要两者同向操作(由于政策的互补性),最优政策组合取决于宏观冲击的类别和风险的来源。本文认为,选择最优组合是一个复杂的理论和实证问题,除了冲击类别和风险来源外,不同的金融体制和经济周期阶段也会影响选择结果。因此,货币政策当局与宏观审慎当局之间需要建立有效的协调机制,并加强对货币政策和宏观审慎政策“溢出效应”的分析能力。基于上述理论,针对我国“双支柱”决策的现状和问题提出如下改革建议:一是从法律上明确中央银行的金融稳定职责。二是建立在同一框架内分析货币政策与宏观审慎政策的方法和工具。三是将金融监管部门的主要宏观审慎政策决策权集中至中央银行。四是建立货币政策与宏观审慎政策的协调流程与机制。     

Optimal Macroprudential Policies and House Prices in Korea

This article investigates the impacts of the macroprudential policy of limitation on credit growth in housing market on Korean economy to find empirical and theoretical implications. Empirical results based on VAR models show that macroprudential policies like LTV and DTI in Korea have significant and persistent effect on real household credit and real house price. This article further addresses implications of optimal macroprudential and monetary policy in Korea by employing a standard DSGE model. The results suggest that the time-varying macroprudential policy responding to the borrower’s debt to income ratio is most effective in stabilizing household debt among the macroprudential policy rules considered, but produces a moderate downturn of the economy.     

Political Stability and the Effectiveness of Currency Based Macro Prudential Measures

The use of multiple currency based macroprudential tools by Reserve Bank of India, India’s central bank, has helped create resilience in the economy, especially during financial turmoil. However, in a democratic set-up like India, the analysis of capital based macroprudential reforms needs to incorporate the political stability, as there is increasing evidence that macroprudential policy effectiveness is closely linked to political conditions. This study incorporates the role of political stability is understanding the effectiveness of currency based macroprudential policies, by using the years of election as a proxy for political uncertainty. I develop an index of capital based macroprudential policies (CMPP) using the notifications on capital flows and risk management guidelines on foreign exchange exposures from Reserve Bank of India. Using a GARCH model, the impact of CMPP on the net capital inflows is analyzed for the period from January, 1997 to March, 2018. I find that while the presence of CMPP leads to a fall in capital flow volatility, such policies in the years of election are ineffective in curbing capital flow volatility. The paper adds to the increasing evidence coming in recent years of the link between political cycles, interest groups and macroprudential policies.

     

Heterogeneous effects of macroprudential policies on firm leverage and value

We empirically investigate the effect of financial institution-targeted macroprudential policies on firms using a comprehensive macroprudential policy dataset and corporate panel data across 35 countries. We find that tightening of macroprudential measures persistently curbs the leverage of firms, while loosening is related to the increase in leverage. We also find that this effect on leverage is heterogeneous across firms, as net macroprudential policy actions reduce the procyclicality of leverage more significantly for small firms and firms with high leverage. Also, we estimate the effect of macroprudential policies on firm value to evaluate potential policy trade-offs as the policies restrict the firms' access to credit during economic booms while protecting them from future financial crises. The effect of macroprudential policies on firm value is generally positive despite the policies' restrictive nature. Further, the effect on firm value is heterogeneous depending on firm characteristics: the positive effect becomes stronger as firms are less leveraged, but this positive effect is weaker for firms that grow faster, suggesting potential costs of macroprudential policies for these firms.     

Explaining the (non-) adoption of advanced data analytics in auditing: A process theory

Audit firms are increasingly engaging with advanced data analytics to improve the efficiency and effectiveness of external audits through the automation of audit work and obtaining a better understanding of the client’s business risk and thus their own audit risk. This paper examines the process by which audit firms adopt advanced data analytics, which has been left unaddressed by previous research. We derive a process theory from expert interviews which describes the activities within the process and the organizational units involved. It further describes how the adoption process is affected by technological, organizational and environmental contextual factors. Our work contributes to the extent body of research on technology adoption in auditing by using a previously unused theoretical perspective, and contextualizing known factors of technology adoption. The findings presented in this paper emphasize the importance of technological capabilities of audit firms for the adoption of advanced data analytics; technological capabilities within audit teams can be leveraged to support both the ideation of possible use cases for advanced data analytics, as well as the diffusion of solutions into practice.     

Coordinating Monetary and Macroprudential Policies

This paper studies noncooperative games between a monetary authority and a macroprudential regulator whose objectives are a subset of those in the social loss function. The analysis is based on a New Keynesian model with a financial sector and a financial friction à la Gertler and Karadi (2011). When the friction affects the financing of all factors of production equally, macroprudential policy is shown to be a powerful additional tool, fully eliminating inefficiencies, regardless of the source of the shock and no matter whether the central bank and the regulator cooperate. But when trade‐offs are present and policy is discretionary, the institutional arrangements become crucial. While coordination leads to higher welfare than a setting in which each authority takes the decision rule of the other as given (namely, the Nash equilibrium), our analysis shows that a noncooperative setting in which the macroprudential authority acts as a leader within the period can be superior to cooperation. Finally, our conclusions are unaffected by whether the macroprudential instrument affects funding costs or acts as a liquidity requirement.     

Macroprudential policy in the EU: A political economy perspective

In response to the lessons of the global financial crisis, macroprudential policy is now firmly established as a financial policy area to prevent excessive risk taking in the financial sector and mitigate its effects on the real economy. However, macroprudential policy is facing several challenges relating to its political sensitivity and institutional context. These include political and interest group resistance, weaknesses in the governance framework, and limited institutional memory among policy makers. This article seeks to contribute to the contextual understanding of macroprudential policy by exploring how factors relating to these challenges influence policy in the EU. More specifically, it develops and empirically tests a number of hypotheses on how wider institutional and structural factors influence the actual use of macroprudential measures across Europe. The findings yield considerable support for theoretical predictions that institutions and contexts matter - Political pressure and interest group resistance tend to influence the intensity of macroprudential policy stances. Weaker policy stances characterise countries where banking systems depend on domestic banks, whereas the opposite holds for financial systems with significant market shares of other financial intermediaries. Results on institutional arrangements show that governance arrangements on relating to transparency influence policy stances. The results also indicate that policy makers' inertia is best counteracted by appointing a single macroprudential authority. The results differ somewhat depending on whether countries are based in the Euro zone or not. This suggests that policy frameworks that are multi-layered and complex pose tricky conundrums on how to ensure sufficient institutional autonomy, policy capacity and discretion among macroprudential authorities. This also has implications on other policy areas macroprudential policy, such as microprudential policy, crisis management and fiscal policy.     

Macroprudential policy and imbalances in the euro area

Since its creation the euro area suffered from imbalances between its core and peripheral members. This paper checks whether macroprudential policy applied to the peripheral countries could contribute to providing more macroeconomic stability in this region. To this end we build a two-economy macrofinancial model and simulate the effects of macroprudential policy (regulating the loan-to-value ratio) when the core and the periphery are exposed to asymmetric shocks. We find that macroprudential policy is able to substantially lower the amplitude of credit and output fluctuations in the periphery. However, for the policy to be effective, it should be decentralized. Very similar conclusions hold when welfare is considered as the optimality criterion.     

宏观审慎政策与银行风险承担研究

针对宏观审慎政策中的逆周期政策工具对银行风险承担产生的影响进行了分析。在理论上研究了逆周期政策工具所带来的宏观和微观效应,并运用动态面板数据广义矩估计方法进行了实证分析。研究发现,在信贷扩张期杠杆率、贷款损失准备金率的上升会使银行的当期风险承担水平增加,资本充足率的提高使风险承担降低。而滞后六个月的资本充足率、杠杆率、贷款损失准备金率的上升可以显著降低当期的风险承担水平,宏观审慎政策工具的宏观效应和微观效应一致。     

宏观审慎政策理论基础解析

宏观审慎政策是在本次金融危机后由国际清算银行牵头,于2010年在G20国家峰会上通过的未来全球金融监管通行规则。现有中文文献多将目光聚焦在对宏观审慎政策的目标、工具与有效性的认识和解释上,本文则是从宏观审慎政策的理论基础出发,从不同的角度和侧面来描述刻画宏观审慎政策的目标和内容,厘清其完整脉络,为全面实施宏观审慎监管提供理论依据。     

Macroprudential Stress-Testing Practices of Central Banks in Central and Southeastern Europe: Comparison and Challenges Ahead

This paper reviews and compares stress-testing practices of central banks in Central and Southeastern Europe (CSEECBs) and outlines challenges in the area of stress testing going forward. The authors, focusing their comparison on CSEECBs, construct the baseline and stress scenarios, map macroeconomic scenarios and microeconomic factors to risk factors, calculate risk exposures to different risk indicators, and estimate outcome indicators to inform macroprudential policy. The main challenges going forward concern data reliability, consideration of quantitative microprudential indicators, incorporation of feedback effects in stress tests, institutionalization of macroprudential policy responses to alarming stress-test results, and information exchange for better cross-border supervision.     

A macroprudential approach to address liquidity risk with the loan-to-deposit ratio

This paper maps the empirical features of the loan-to-deposit (LTD) ratio with an eye on using it in macroprudential policy to mitigate liquidity risk. We examine the LTD trends and cycles of 11 euro area countries by filtering methods and analyse the interaction between loans and deposits. We propose macroprudential policy to prevent an unsustainable level of the LTD ratio and policy measures to counter destabilizing cyclical developments.     

How effective are macroprudential policies? An empirical investigation

In recent years, policymakers have generally relied on macroprudential policies to address financial stability concerns. However, our understanding of these policies and their efficacy is limited. In this paper, we construct a novel index of macroprudential policies in 57 advanced and emerging economies covering the period from 2000:Q1 to 2013:Q4, with tightenings and easings recorded separately. The effectiveness of these policies in curbing credit growth and house price appreciation is then assessed using a dynamic panel data model. The main findings of the paper are: (1) Macroprudential policies have been used far more actively after the global financial crisis in both advanced and emerging economies. (2) These policies have primarily targeted the housing sector, especially in the advanced economies. (3) Macroprudential policies are usually changed in tandem with bank reserve requirements, capital flow restrictions, and monetary policy. (4) Our analysis suggests that macroprudential tightening is associated with lower bank credit growth, housing credit growth, and house price appreciation. (5) Targeted policies – for example, those specifically intended to limit house price appreciation – seem to be more effective, especially in economies where bank finance is important.     

宏观审慎政策与货币政策目标协调研究

宏观审慎政策与货币政策之间的关系是当前理论研究的前沿,国内外对于宏观审慎政策与货币政策目标之间的关系、协调研究还很少.本文在回顾国内外研究的基础上,对宏观审慎政策与货币政策目标进行了比较,比较了两者目标的共同点、不同点,并分析了宏观审慎政策与货币政策目标协调的必要性:两者目标联系紧密、互相影响、具有互补性、需要关注潜在冲突,最后基于前述研究的基础上提出了对策建议.