Cover IMF Working Papers
Buy Book in Print
The Effectiveness of Borrower-Based Macroprudential Measures: A Quantitative Analysis for Slovakia
Author:
Pavol Jurca null

Search for other papers by Pavol Jurca in
Current site
Google Scholar Close
,
Ján Klacso null

Search for other papers by Ján Klacso in
Current site
Google Scholar Close
,
Eugen Tereanu null

Search for other papers by Eugen Tereanu in
Current site
Google Scholar Close
,
Marco Forletta null

Search for other papers by Marco Forletta in
Current site
Google Scholar Close
, and
Mr. Marco Gross null

Search for other papers by Mr. Marco Gross in
Current site
Google Scholar Close
Series:
IMF Working Papers
Volume/Issue:
Volume 2020: Issue 134
Language:
English
Publication Date:
17 Jul 2020
DOI:
https://doi.org/10.5089/9781513550503.001
ISBN:
9781513550503
ISSN:
1018-5941
Pages:
37
Keywords:
WP; borrower; lending; household portfolio; loan; mortgage lending; payment obligation; policy measure; borrower leverage; behavior assumption; policy instrument; growth path; Mortgages; Loans; Personal income; Bank soundness; Financial statements; Global; Borrower-based macroprudential policy; household micro data; macro-financial linkages; mortgage borrower; HFCS data mortgage
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Download PDF (2.2 MB) Download Epub
We develop a semi-structural quantitative framework that combines micro and macroeconomic data to assess the effectiveness of combinations of borrower-based macroprudential measures in Slovakia. We expand on the integrated dynamic household balance sheet model of Gross and Población (2017) by introducing an endogenous loan granting feature, in turn to quantify the potential (ex-ante) impact of macroprudential measures on resilience parameters, compared with a counterfactual no-policy scenario, under adverse macroeconomic conditions. We conclude that (1) borrower-based measures can noticeably improve household and bank resilience to macroeconomic downturns, in particular when multiple measures are applied; (2) those measures tend to complement each other, as the impact of individual instruments is transmitted via different channels; and (3) the resilience benefits are more sizeable if the measures effectively limit the accumulation of risks before an economic downturn occurs, suggesting that an early, preemptive implementation of borrower-based measures is indeed warranted.
  • Collapse
  • Expand
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund