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Effective Macroprudential Policy: Cross‐Sector Substitution from Price and Quantity Measures
Author(s) -
CIZEL JANKO,
FROST JON,
HOUBEN AERDT,
WIERTS PETER
Publication year - 2019
Publication title -
journal of money, credit and banking
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.763
H-Index - 108
eISSN - 1538-4616
pISSN - 0022-2879
DOI - 10.1111/jmcb.12630
Subject(s) - substitution (logic) , economics , matching (statistics) , panel data , propensity score matching , monetary economics , substitution effect , econometrics , microeconomics , computer science , statistics , mathematics , programming language
Macroprudential policy is increasingly being implemented worldwide, and is mostly applied to banks. A key question is whether this prompts substitution toward nonbank credit. Using two different global data sets on macroprudential measures and different methodologies, including detrended series, panel estimations, and propensity score matching, we find evidence of such substitution. Substitution toward nonbank credit appears to be stronger when policy measures are binding and are implemented in economies with well‐developed nonbank credit markets. This substitution partially offsets the fall in bank credit, thus dampening the policies’ effect on total credit.