| Title: | The impact of macroprudential policy on credit growth in nine euro area economies |
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| Authors: | ID Lorenčič, Eva (Author)
ID Volčjak, Robert (Author)
ID Festić, Mejra (Author) |
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| Files: |  https://journals.um.si/index.php/oe/article/view/2932
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| Language: | English |
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| Work type: | Scientific work |
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| Typology: | 1.01 - Original Scientific Article |
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| Organization: | EPF - Faculty of Business and Economics
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| Abstract: | In this paper, we investigate the impact of macroprudential policy measures
(bundled together into a macroprudential policy index, MPI) on the nonfinancial corporate sector credit and household credit growth using a one-step
system GMM empirical research method. The goal of our paper is to test
whether contractionary macroprudential policy stymies credit growth rate
and whether expansionary macroprudential policy spurs credit growth rate
in selected Euro Area economies (Austria, Belgium, Finland, Germany, Ireland,
Italy, Netherlands, Slovenia, and Spain) over the period 2008Q4–2018Q4. We
test two hypotheses: H1: The tightening of macroprudential policy measures
reduces the non-financial corporate sector credit growth rate, and H2: The
tightening of macroprudential policy measures reduces the growth rate of
household credit. Based on our empirical results, we can confirm the first
hypothesis. In contrast, the second hypothesis can be neither confirmed
nor rejected since the explanatory variable of interest (MPI) is statistically
insignificant in the second model. |
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| Keywords: | macroprudential policy, systemic risk, financial stability, dynamic panel data, one-step system GMM |
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| Publication status: | Published |
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| Publication version: | Version of Record |
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| Publication date: | 01.01.2023 |
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| Year of publishing: | 2023 |
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| Number of pages: | str. 1-14 |
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| Numbering: | Vol. 69, no. 2 |
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| PID: | 20.500.12556/DKUM-85630  |
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| UDC: | 336.77:338.1 |
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| ISSN on article: | 0547-3101 |
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| COBISS.SI-ID: | 159706115 |
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| DOI: | 10.2478/ngoe-2023-0007 |
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| Publication date in DKUM: | 05.09.2023 |
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| Views: | 299 |
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| Downloads: | 10 |
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| Metadata: |    |
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| Categories: | Misc.
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