Job market
University of origin:
Universidad de Castilla La Mancha (Spain)
Admission year: 2019
email:: alvaro.fernandez@ua.es
Office: 0031PS042
Ext.: 2144
The Transmission of Macroprudential Policy in the Tails: Evidence from a Narrative Approach
Abstract: We estimate the causal effects of macroprudential policies on the entire distribution of GDP growth for a panel of advanced European economies using a narrative-identification strategy in a quantile-regression framework. While macroprudential policy has near-zero effects on the centre of the GDP-growth distribution, tighter policy brings benefits by reducing the variance of future growth, significantly boosting the left tail (i.e., GDP-at-Risk) while simultaneously reducing the right. Assessing a range of channels through which these effects materialise, we find that macroprudential policy particularly operates through `credit-at-risk’: it reduces the right tail of future credit growth, dampening credit booms, in turn reducing the likelihood of extreme GDP-growth outturns. Overall, our results provide novel evidence about the causal effects of macroprudential policy on the distribution of future macroeconomic outcomes.
Iván Payá Sastre
Professor
Ph.D. Cardiff University
email: ivanpaya@ua.es
Office: 14
Ext.: 3226
Iván Payá
University of Alicante
Simon Lloyd
Bank of England
Gabriel Pérez-Quirós
Bank of Spain