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Appendix: List of Countries
|Estonia||Lebanon||Russian Federation||United States|
|Estonia||Lebanon||Russian Federation||United States|
This paper is part of the 2015 IBRN initiative on the domestic effects and international spillovers of prudential instruments. We would like to thank Claudia Buch, Stijn Claessens, Linda Goldberg, Claudia Jadrijevic, Steven Ongena, an anonymous referee, IBRN participants, IMF economists, and central banks and supervisory authorities for their extremely valuable feedback on the construction of the database. We also greatly appreciate the help provided by Calebe De Roure, Jacob Miller and Marcus Pramor in the construction of the database. The views expressed in this paper are solely those of the authors and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System, the Deutsche Bundesbank, the International Monetary Fund, and the Oesterreichische Nationalbank. The data on prudential instruments used in the paper are available on https://www.newyorkfed.org/IBRN/index.html.
Eugenio Cerutti is at the International Monetary Fund (700 19th Street NW, Washington, DC 20431, USA), firstname.lastname@example.org, Ricardo Correa is at the Board of Governors of the Federal Reserve System (20th ST & C ST, N.W., Washington, DC, 20551, United States), email@example.com, Elisabetta Fiorentino is at the Deutsche Bundesbank (Wilhelm-Epstein-Str. 14, 60431 Frankfurt am Main, Germany) firstname.lastname@example.org, and Esther Segalla is at the Oesterreichische Nationalbank (Otto-Wagner-Platz 3, A-1090 Vienna, Austria), email@example.com.
There are other instruments in the macroprudential toolkit, such as taxes, levies, and capital flow measurements. Nevertheless, most macroprudential tools considered to date apply to the banking system, mainly given the presence of microprudential regulatory tools that are easily adaptable, the related more extensive theory, and knowledge of these tools.
The 2015 initiative of the IBRN is a multi-study project on the domestic effects and international spillovers of prudential instruments, where teams of researchers from 15 central banks and 2 international organizations used confidential micro-banking data and more precise measures of prudential regulation, than were available to prior researchers, to test their hypotheses.
In Cerutti, Claessens, and Laeven (2015), an instrument is being used if it is written into a law or into regulatory rules. Their analysis shows that concentration limits was used (in a least one year) in 64 percent of the 119 countries in their sample, reserve requirements in 37 percent of the countries, and LTV ratio limits and interbank exposure limits in 29 percent of the countries. The same top 4 instruments are selected following their paper definition of use frequency (the ratio of country-years using a given instrument to the total number of country-years using a macroprudential policy over the sample period 2000–2013).
A list of the 64 countries included in the database is reported in the appendix. Out of these 64 countries, we have limited coverage for 7 countries, which are highlighted in the appendix.
Observations are also coded as missing for a few countries without any information for the concentration and interbank exposure limits. We also record the entries for the general capital requirements index of seven countries, listed in bold in the appendix, as missing. These type of missing values are coded differently in the database from those that reflect the lack of availability of the policy instrument.
Even though the GMPI survey included a question asking about the changes in the covered instruments from 2000 to 2013, the responses to these questions are to a large degree missing or incomplete, constituting one of the main challenges in our documentation not only of usage, but also intensity of usage.
The BIS sources are the “Progress Report on Implementation of the Basel Regulatory Framework” (http://www.bis.org/bcbs/implementation.htm) and the “FSI Survey - Basel II, 2.5 and III Implementation” (http://www.bis.org/fsi/fsiop2015.htm).
For a detailed analysis of the quantitative impact of Basel II, see the Financial Stability Institute’s report titled “Results of the fifth quantitative impact study (QIS 5)”, which can be found at this link: http://www.bis.org/bcbs/qis/qis5results.pdf.
Correlations are similar if we use nominal credit growth instead of real credit growth
Results are broken down into Emerging Markets (EM) and Advanced Economies (AE), following the IMF October 2015 World Economic Outlook (WEO) classification.
For euro-area countries, reserve requirements ratios are determined by the European Central Bank.
The positive significant correlations between LTV ratio limits and house prices are mostly from Asia (e.g., Hong Kong, South Korea, Malaysia, and India). This correlation captures the effect of lending standards on house prices, and is supported by some studies (e.g., Igan and Kang 2011; International Monetary Fund, 2011; Akinci and Olmstead-Rumsey, 2015; Cerutti, Dagher, and Dell’Ariccia, 2015) that have found a positive relationship between LTV limits and house price increases over time. Other studies like Vandenbussche, Vogel, and Detragiache (2015), which focuses on Eastern Europe, find that other instrument, such as capital and nonstandard liquidity measures had a larger impact on house prices.
The correlations (not reported) between policy rates and the intensity of usage of capital buffers, concentration limits, and interbank exposures limits are in line with the correlations with credit growth. The changes in the usage intensity of these instruments is not related with the monetary policy stance.