The macroeconomic effects of macroprudential policy: Evidence from a narrative approach

• 成果类型: Article
• 署名作者: Rojas, Diego; Vegh, Carlos; Vuletin, Guillermo
• 署名单位: The World Bank; University System of Maryland; University of Maryland Baltimore County; Johns Hopkins University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2022.103644
• 发表日期: 2022
• 关键词: Macroprudential policy; reserve requirements; monetary policy; Narrative approach; identification; business cycle; endogeneity; Macroeconomic effects

摘要

We analyze the macroeconomic effects of macroprudential policy - in the form of legal reserve requirements - in three Latin American countries (Argentina, Brazil, and Uruguay). To correctly identify innovations in changes in legal reserve requirements, we develop a narrative approach that classifies each change into endogenous or exogenous to the business cycle. We show that this distinction is critical in understanding the macroeconomic effects of reserve requirements. In particular, we show that output falls in response to exogenous increases in legal reserve re-quirements but is not affected when using all changes and relying on traditional time -identifying strategies. This bias reflects the practical relevance of the misidentification of en-dogenous countercyclical changes in reserve requirements.(c) 2022 Published by Elsevier B.V.