Spillovers at the extremes: The macroprudential stance and vulnerability to the global financial cycle

• 成果类型: Article; Proceedings Paper
• 署名作者: Chari, Anusha; Dilts-Stedman, Karlye; Forbes, Kristin
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Federal Reserve System - USA; Federal Reserve Bank - Kansas City; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2022.103582
• 发表日期: 2022
• 关键词: Macroprudential policy; Global financial cycle; Risk shocks; International capital flows; High frequency data

摘要

The effects of macroprudential policy on portfolio flows vary considerably across the global fi-nancial cycle. A tighter ex-ante macroprudential stance amplifies the impact of global risk shocks on bond and equity flows, increasing outflows significantly more during risk-off epi-sodes and increasing inflows significantly more during risk-on episodes. These amplification ef-fects are more prominent at the extremes, especially for extreme risk-off periods and for regulations that target specific risks instead of generalized cyclical buffers. This paper estimates these relationships using a policy-shocks approach that corrects for reverse causality by com-bining high-frequency risk measures with weekly data on portfolio investment and a new measure of macroprudential regulations that captures the intensity of policy stances. Overall, the results support a growing body of evidence that macroprudential regulation can reduce the volume and volatility of bank flows but shift risks in ways that aggravate vulnerabilities in other parts of the financial system.(c) 2022 The Author(s). Published by Elsevier B.V. This is an open access article under the CCBY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).