Macroprudential Policy Spillovers : A Quantitative Analysis

This paper analyzes cross-border macrofinancial spillovers from a variety ofmacroprudential policy measures, using a range of quantitative methods. Event study andpanel regression analyses find that liquidity and sectoral macroprudential policy measuresoften affect cross-border bank credit, whereas capital measures do not. This empiricalevidence is stronger for tightening than for loosening measures, is distributed across creditleakage and reallocation effects, and is generally regionally concentrated. Consistently,structural model based simulation analysis indicates that output and bank credit spilloversfrom sectoral macroprudential policy shocks are generally small worldwide, but areregionally concentrated and economically significant for countries connected by strongtrade or financial linkages. This simulation analysis also indicates that countercyclicalcapital buffer adjustments have the potential to generate sizeable regional spillovers