期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：This paper assesses the e ectiveness and associated externalities that arise when macro-prudential policies (MPPs) are used to manage international capital ows. Using a sample ofup to 139 countries, we examine the impact of eight di erent MPP measures on cross-borderbank ows over the period 1999-2009. Our panel analysis takes into account the structure ofthe banking system as well as the presence of potential cross-country and cross-asset classspillover e ects. Our results indicate that the structure of the domestic banking systemmatters for the e ectiveness of MPPs. We speci cally nd that a high share of non-residentbank loans in the MPP-implementing country reduces the domestic e ectiveness of mostMPPs, while a high return on assets in the domestic banking system has the opposite ef-fect. Our results on the spillover analysis indicate that both types of spillover can occur.First, we nd that a high return on assets in the banking system of countries other thanthe MPP-implementing one leads to a reduction, and a greater degree of trade integrationleads to an increase in spillovers across countries. However, the economic signi cance of theresults suggests that only a limited number of countries will tend to experience substantialgeographical spillover e ects. Second, we also nd some evidence of spillover e ects acrossasset classes within countries.
关键词：macroprudential policies; international capital ;ows; banking system
