A0216
Title: Macroprudential policies and credit volatility
Authors: Alessio Farcomeni - University of Rome Tor Vergata (Italy)
Lorenzo Carbonari - ()
Cosimo cosimopetracchi - ()
Giovanni Trovato - University of Rome Tor Vergata (Italy) [presenting]
Abstract: The purpose is to present a model for data reduction and provide time-fixed indicators for macroprudential policies. Using a panel of 119 countries from 2000 to 2015, the effectiveness of macroprudential policies in reducing volatility in private credit is empirically assessed. Unobserved heterogeneity among countries is an important factor. An econometric model is employed that accounts for this heterogeneity and it is documented that the impact of macroprudential policies on financial stability varies, leading to either deterioration or improvement, depending on the macroeconomic conditions of the country in which they are implemented.
