A global perspective on macroprudential policy interaction with systemic risk, real economic activity, and monetary intervention

Financial Innovation

Mikhail I. Stolbov¹  Maria A. Shchepeleva²  Alexander M. Karminsky³ 

[1] Chair of the Department of Applied Economics, Moscow State Institute of International Relations (MGIMO University), Moscow, Russia;Department of Theoretical Economics, National Research University Higher School of Economics, Moscow, Russia;School of Finance and Head of the Research Center of Banking and Risks, National Research University Higher School of Economics, Moscow, Russia;

关键词: Industrial production;    Macroprudential policy;    Monetary policy;    Smooth local projections;    Systemic risk;    G01;    G18;    C32;   

DOI  :  10.1186/s40854-021-00257-x

来源: Springer

【 摘 要 】

The study empirically assesses how macroprudential policy interacts with systemic risk, industrial production, and monetary intervention on a global level from January 2006 to December 2018. We adopt the aggregate proxies of these variables, capturing their global effects, and use a novel econometric technique, namely, smooth local projections. The study finds that global macroprudential policy leads the monetary policy, exhibiting a countercyclical pattern concerning industrial production. The latter has an inverse bidirectional linkage with systemic risk. Thus, an ex-ante tight macroprudential policy can indirectly mitigate global systemic risk through its pro-growth effect on industrial production, although no convincing evidence exists for the direct impact of a macroprudential intervention on systemic risk. The study results endure several extensions and a robustness check, which builds on alternative measures of global systemic stress and real economic activity, thereby legitimizing the increased importance attached to the macroprudential policy since the 2007–2009 global financial crisis.

【 授权许可】

CC BY