The Anatomy of the Transmission of Macroprudential Policies

By V. Acharya, Katharina Bergant, Matteo Crosignani, Tim Eisert, Fergal McCann. IMF Working Papers, 2020

114 citations recorded by the source corpus.

We analyze how regulatory constraints on household leverage—in the form of loan-to-income and loan-to-value limits—a?ect residential mortgage credit and house prices as well as other asset classes not directly targeted by the limits. Supervisory loan level data suggest that mortgage credit is reallocated from low-to high-income borrowers and from urban to rural counties. This reallocation weakens the feedback loop between credit and house prices and slows down house price growth in “hot” housing markets. Consistent with constrained lenders adjusting their portfolio choice, more-a?ected banks drive this reallocation and substitute their risk-taking into holdings of securities and corporate credit.

View Paper: https://www.semanticscholar.org/paper/f3d4541eba8ff31a63a1ecca1f74bd46fc6f46cf

Citations in the corpus

• Macroprudential policy and bank systemic risk (2020, unknown): “In this paper we follow Acharya et al. (2017) and use the Marginal Expected Shortfall (MES).”