Markus Eller, Niko Hauzenberger, Florian Huber, Helene Schuberth, Lukas Vashold
arXiv 10 Sep 2020 · Econometrics · 4 citations (OpenAlex)
arXiv:2009.06391 · PDF · DOI · OpenAlex · Extracted main text
In line with the recent policy discussion on the use of macroprudential measures to respond to cross-border risks arising from capital flows, this paper tries to quantify to what extent macroprudential policies (MPPs) have been able to stabilize capital flows in Central, Eastern and Southeastern Europe (CESEE) -- a region that experienced a substantial boom-bust cycle in capital flows amid the global financial crisis and where policymakers had been quite active in adopting MPPs already before that crisis. To study the dynamic responses of capital flows to MPP shocks, we propose a novel regime-switching factor-augmented vector autoregressive (FAVAR) model. It allows to capture potential structural breaks in the policy regime and to control -- besides domestic macroeconomic quantities -- for the impact of global factors such as the global financial cycle. Feeding into this model a novel intensity-adjusted macroprudential policy index, we find that tighter MPPs may be effective in containing domestic private sector credit growth and the volumes of gross capital inflows in a majority of the countries analyzed. However, they do not seem to generally shield CESEE countries from capital flow volatility.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Eller M, Martin R, Schuberth H and Vashold L (2020b) Macroprudential… Focus on European Economic Integration Q2/20, 65–81 | 0.941 | 6 | 4 | 83% |
| 2 | Ahnert T, Forbes K, Friedrich C and Reinhardt D (2018) Macroprudenti… NBER Working Paper 25083, The National Bureau of Economic Research | 0.843 | 3 | 3 | 100% |
| 3 | Kim S and Mehrotra A (2018) Effects of monetary and macroprudential… Journal of Money, Credit and Banking 50(5), 967–992 | 0.843 | 3 | 3 | 100% |
| 4 | Eller M, Huber F and Schuberth H (2020a) How important are global fa… Journal of International Money and Finance forthcoming | 0.737 | 3 | 3 | 67% |
| 5 | Portes R, Beck T, Buiter W, Dominguez K, Gros D, Gross C, Kalemli-Oz… (2020) Reports of the Advisory Scientific Committee of the ESRB 10, European Systemic Risk Board | 0.644 | 2 | 2 | 100% |
| 6 | Aizenman J, Chinn MD and Ito H (2017) Financial spillovers and macro… Working Paper 24105, National Bureau of Economic Research | 0.644 | 2 | 2 | 100% |
| 7 | Bernanke B, Boivin J and Eliasz P (2005) Measuring the effects of mo… The Quarterly Journal of Economics 120(1), 387–422 | 0.644 | 2 | 2 | 100% |
| 8 | Cerutti E and Zhou H (2018) Cross-border banking and the circumventi… IMF Working Paper 18/217, International Monetary Fund | 0.644 | 2 | 2 | 100% |
| 9 | Forbes K, Fratzscher M and Straub R (2015) Capital-flow management m… Journal of International Economics 96, S76–S97 | 0.644 | 2 | 2 | 100% |
| 10 | IMF (2017) Increasing resilience to large and volatile capital flows… IMF Policy Paper, International Monetary Fund | 0.644 | 2 | 2 | 100% |
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