Title page
Contents
1. Introduction 3
2. Related literature 6
3. Data description 7
3.1. Data on macroprudential measures 7
3.2. Data on bilateral cross-border bank claims 8
3.3. Data on monetary policy stance 10
3.4. Additional macro controls 11
4. Estimation methodology 11
4.1. Identification 11
4.2. Panel regression setup 12
5. Results 15
5.1. IBRN data (2012-2014) 15
5.2. IMF iMaPP data (2012-2014) 16
5.3. IMF iMaPP data (2012-2016) 16
5.4. Economic significance 17
5.5. Interpretation of policy interaction effects across policy actions 18
6. Alternative specifications and robustness checks 19
6.1. Borrowers' country macroprudential tools 19
6.2. Source loan-to value ratio caps 20
6.3. Source FX reserve requirements 20
6.4. Level of initial macroprudential stringency 21
6.5. Common IBRN-IMF iMaPP Sample 21
6.6. Interaction term implied model restriction 22
6.7. Endogeneity of macroprudential policies to monetary policy 22
6.8. Foreign currency (FX)-based macroprudential tools 23
6.9. Additional Robustness Checks 23
7. Conclusion 23
References 25
Table 1. Summary Statistics 29
Table 2. Main specifications: Source Macroprudential Stringency-IBRN Database; 2012 Q2-2014 Q4 30
Table 3. Main specifications: Source Macroprudential Stringency-IMF iMapp Database; 2012 Q2-2014 Q4 31
Table 4. Main specifications: Source Macroprudential Stringency-IMF iMapp Database; 2012 Q2-2016 Q4 32
Table 5. Selected specifications: Borrower Macroprudential Stringency 33
Table 6. Selected specifications: Source Loan-to-Value Cap Stringency 34
Table A1. Construction of Macroprudential Indices 35
Table A2. Characterization of the BIS IBS Stage 1 Enhanced Banking Statistics 35
Table A3. Selected specifications: Source FX Reserve Requirement Stringency 36
Table A4. Selected specifications: Role of Initial Macropru Stringency 37
Table A5. Selected specifications: Source Macroprudential Stringency-IBRN and IMF iMapp Common Sample; 2012 Q2-2014 Q4 38
Figure 1. Short-term policy and shadow interest rates 39
Figure 2. Policy interactions 39