Digging Deeper—Evidence on the Effects of Macroprudential Policies from a New Database
基于覆盖134个国家的新数据库，用贷款价值比（LTV）收紧程度指标，估计宏观审慎政策对家庭信贷的非线性影响，发现政策泄漏效应可能是非线性原因，且对消费和产出的副作用较小。
Abstract This paper introduces a comprehensive database of macroprudential policies, which covers 134 countries from January 1990. Using a novel numerical indicator of the tightness of loan‐to‐value (LTV) regulations, we estimate the policy effects of incremental tightening in LTV limits, employing a propensity score–based method to address endogeneity concerns. The results point to economically significant and nonlinear effects on household credit, with a declining per‐unit impact for larger tightening measures. The analysis indicates that policy leakage effects could be a factor behind the nonlinear effects. We finally find that the side effects of macroprudential policies on consumption and output are relatively small.