Capital and currency-based macroprudential policies: An evaluation using credit registry data

Arbeitspapier

We aim to assess the impact of capital- and currency-based macroprudential policy measures on credit growth at the bank-firm level, using credit registry data from Argentina. We examine the impact of the introduction and tightening of a capital buffer and a limit on the foreign currency position of financial institutions on credit growth of firms, estimating fixed effects and difference-in-difference models for the period 2009-2014; we control for macroeconomic, financial institutions and firms variables, both observable and unobservable. We find that: the capital buffer and the limits on foreign currency positions generally contribute to moderating the credit cycle, both when introduced and when tightened; the currency-based measure appears to have a quantitatively more important impact; both measures operate on the extensive and the intensive margins and have an impact on credit supply. Macroprudential policies also have an effect on ex post credit quality: growth of non-performing loans is reduced after their implementation. In general, credit granted by banks with more capital and assets evidences a higher impact of the introduction of the capital buffer, while this measure also acts more strongly during economic activity expansions.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Economic Research Working Papers ; No. 77

Classification and Topics

• Classification: Wirtschaft ; Central Banks and Their Policies ; Financial Institutions and Services: Government Policy and Regulation ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
• Subject: Macroprudential policy ; credit registry data ; panel data models

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Aguirre, Horacio ; Repetto, Gastón
• Event: Veröffentlichung
• (who): Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
• (where): Buenos Aires
• (when): 2018

Further information

• Handle: http://hdl.handle.net/10419/202486
• Last update: 10.03.2025, 11:43 AM CET