Àrees d’interès: Applied Macroeconomics: MacroFinance, Monetary and Macroprudential Policy.
Altres àrees: Impact Evaluation Methods.
The Price Channel of Macroprudential Policy. Evidence from the EU
Resum: This paper evaluates the Price Channel of Macroprudential Policy (MaPP) in the European Union (EU). With a monthly panel of 28 EU countries from 2000 to 2019, I assess whether MaPP influences commercial banks’ lending interest rates, i.e., the price of credit. An aggregate index of the MaPP stance for each EU country has been built using the ECB’s MaPPed database. I also construct demand- and supply-side MaPP subindexes. Local Projections have been used to address the research question. The empirical results indicate that supply-side MaPP tools, particularly capital-based tools, affect interest rates more than demand-side tools. The same conclusions are reached when conducting the analysis with a policy-shock methodology that addresses possible endogeneity concerns. This paper also links with the Monetary Policy and MaPP interactions literature. Given that my results indicate that MaPP does have a bearing on bank interest rates and that the Interest Rate Channel of Monetary Policy works via bank interest rates, it could be argued that Macroprudential Policy is interfering, to some extent, in the Interest Rate Channel of Monetary Policy. My results can be interpreted as concrete evidence supporting more coordination between the Macroprudential and Monetary Policy spheres in the arena of interest rates.