ǂThe ǂimpact of seven macroprudential policy instruments on financial stability in six euro area economies

Eva Lorenčič (Author), Mejra Festić (Author)

Abstract

The aim of this paper is to investigate whether macroprudential policy instruments can influence the credit growth rate and hence financial stability. We use a fixed effects panel regression model to test the following hypothesis for six euro area economies (Austria, Finland, Germany, Italy, Netherlands and Spain) during time span 2010 Q3 to 2018 Q4: “Macroprudential policy instruments (degree of maturity mismatch; interbank loans as a percentage of total loans; leverage ratio; non-deposit funding as a percentage of total funding; loan-to-value ratio; loan-to-deposit ratio; solvency ratio) enhance financial stability, as measured by credit growth”. Our empirical results suggest that the degree of maturity mismatch, non-deposit funding as a percentage of total funding, loan-to-value ratio and loan-to-deposit ratio exhibit the predicted impact on the credit growth rate and therefore on financial stability. On the other hand, interbank loans as a percentage of total loans, leverage ratio, and solvency ratio do not exhibit the expected impact on the response variable. Since only four regressors (out of seven) have the signs predicted by our hypothesis, we can only partly confirm it.

Keywords

macroprudential policy;macroprudential instruments;systemic risk;financial stability;

Data

Language:	English
Year of publishing:	2021
Typology:	1.01 - Original Scientific Article
Organization:	UM EPF - Faculty of Economics and Business
Publisher:	Ekonomicko-správní fakulta Masarykovy univerzity
UDC:	336.71
COBISS:	77889539
ISSN:	1804-1663
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Other data

Secondary language:	Slovenian
Secondary keywords:	makrobonitetna politika;makrobonitetni instrumenti;sistemsko tveganje;finančna stabilnost;
Type (COBISS):	Scientific work
Pages:	str. 259-290
Volume:	ǂVol. ǂ21
Issue:	ǂno. ǂ3
Chronology:	sep. 2021
DOI:	10.2478/revecp-2021-0012
ID:	25151749