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© 2023 International Monetary Fund
WP/23/43
IMF Working Paper
Research Department
Differential Effects of Macroprudential Policy
Prepared by Nina Biljanovska and Sophia Chen*
Authorized for distribution by Maria Soledad Martinez Peria
February 2023
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.
ABSTRACT: We explore the differential effects of lender-based macroprudential policies on new mortgage borrowing for households of different income using a comprehensive dataset that links macroprudential policy actions with household survey data for European Union countries. The main results suggest that higher-income households on average experience a larger reduction in mortgage loan size than lower-income households when regulation targeting total lenders’ assets tightens. In contrast, lower-income households on average experience a larger reduction in mortgage loan size than higher-income households when regulation targeting lenders’ capital requirements tightens. We also provide evidence of the different channels through which the differential effects operate.
| JEL Classification Numbers: | G5, E60 |
| Keywords: | Household borrowing; macroprudential policy; income distribution |
| Author’s E-Mail Address: | nbiljanovska@imf.org; ychen2@imf.org |
| JEL Classification Numbers: | G5, E60 |
| Keywords: | Household borrowing; macroprudential policy; income distribution |
| Author’s E-Mail Address: | nbiljanovska@imf.org; ychen2@imf.org |
Title Page
WORKING PAPERS
Differential Effects of Macroprudential Policy
Prepared by Nina Biljanovska and Sophia Chen
The paper has greatly benefited from a discussion by Viral Acharya during the 5th IMF Annual Macrofinance Research Conference. We thank Martina Jasova, Maria Soledad Martinez Peria, Mano Rui, Damiano Sandri, and Alexandros Vardoulakis for constructive comments and discussions. We are grateful to Gianluca Yong Gonzalez for outstanding research assistance.