The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and national and international economic developments.
Eugenio Cerutti, Ricardo Correa, Elisabetta Fiorentino, and Esther Segalla
INTERNATIONAL MONETARY FUND
This paper documents the features of a new database that focuses on changes in the intensity in the usage of
several widely used prudential tools, taking into account both macro-prudential and micro-prudential objectives.
The database coverage is broad, spanning 64 countries, and with quarterly data for the period 2000Q1 through
2014Q4. The five types of prudential instruments in the database are: capital buffers, interbank exposure limits,
concentration limits, loan to value (LTV) ratio limits, and reserve requirements. A total of nine prudential tools are
constructed since some useful further decompositions are presented, with capital buffers divided into four subindices:
general capital requirements, real state credit specific capital buffers, consumer credit specific capital
buffers, and other specific capital buffers; and with reserve requirements divided into two sub-indices: domestic
currency capital requirements and foreign currency capital requirements. While general capital requirements have
the most changes from the cross-country perspective, LTV ratio limits and reserve requirements have the largest
number of tightening and loosening episodes. We also analyze the instruments' usage in relation to the evolution
of key variables such as credit, policy rates, and house prices, finding substantial differences in the patterns of
loosening or tightening of instruments in relation to business and financial cycles.