Work detail

Does monetary policy reinforce the effects of macroprudential policy?

Author: Mgr. Barbara Livorová
Year: 2022 - summer
Leaders: doc. PhDr. Adam Geršl Ph.D.
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 126
Awards and prizes:
Link: https://dspace.cuni.cz/handle/20.500.11956/174000
Abstract: This thesis examines whether the efects of macroprudential policy on credit
and house price growth difer across diverse phases of the monetary policy
cycle. The dataset covers 33 advanced and 39 emerging market countries in
the period 1990-2019. Using the GMM estimation method, the results for
individual types of macroprudential policy instruments and their cumulative efect represented by macroprudential policy index show that tightening
of monetary policy does on average reinforce the efects of macroprudential policy on credit and house price growth. Furthermore, the efects of
various types of macroprudential policies on credit and house price growth
difer depending on the monetary policy cycle phase. The results suggest
that macroprudential policies are efective in curbing house price growth in
advanced countries but less so in emerging markets. The efects of macroprudential policy tools on credit growth are somewhat larger in emerging market
economies than in advanced economies. The thesis contributes to the growing
literature on the efectiveness of macroprudential policy on credit and housing
markets and on the interaction between macroprudential and monetary policies.
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