Suchergebnisse

Using a six variable SVAR model, we study the transmission mechanism of monetary policy to the housing market over the period between 1996:Q1 and 2019:Q4. The SVAR is repeated for two measures of fiscal policy namely, tax revenue and government spending as well as for three measures of the housing market namely, residential prices, the price-to-rent ratio and the price-to-income ratio. Our main results show that monetary policy shocks do not have an impact on residential prices however, when running our model using fiscal policy shocks instead of monetary policy shocks, the results become statistically significant. Further, our results show that the response of housing prices to fiscal policy shocks differs between Portugal and Spain. We conclude that the difference in the housing markets in these two countries can be attributed to the variation in the fiscal policy mandates adopted while the common monetary policy framework implemented by the ECB does not play a role. ; info:eu-repo/semantics/publishedVersion

In this paper, an index of domestic macroprudential policy tools is constructed and the effectiveness of these tools in controlling credit growth is studied using a dynamic panel data model for the period between 2000 and 2017. The empirical analysis includes two panels namely an EU panel of 27 countries and a Latin American panel of 7 countries, and the paper also looks at a case study of Chile, Colombia, Japan, Portugal and the UK. Our main results find that the cumulative index of macroprudential policy tools does not have a statistically significant impact on credit growth when considering a panel of 27 EU countries. When considering the case of Japan, a tighter capital conservation buffer leads to a decrease in the credit supply. When looking at a panel of 7 Latin American countries, our main results show that a tightening of the capital conservation buffer results in an increase in the credit supply. A tightening of the loan-to-value ratio results in a decrease in the credit supply in the panel of 7 Latin American countries. Lastly, a tightening in the overall macroprudential policy tool stance results in a decrease in credit supply in Japan and an increase in credit supply in Portugal. ; info:eu-repo/semantics/publishedVersion

Financial instability and the subsequent credit crunches experienced by a number of countries following two decades of global structural reforms highlighted the importance of stabilizing credit supply and assigning a higher importance to financial stability. In this paper, I look at the independence of the Central Bank, the political environment and the impact of these factors on financial stability. I substantiate the literature review discussion with a brief empirical analysis of the effect of Central Bank independence on credit growth using an existing database created by Romelli (2018). The empirical results show that fluctuations in credit growth are larger for higher levels of Central Bank Independence and hence, in periods of financial instability or ultimately financial crises, Central Bank Independence would be reined back in an effort to reestablish financial stability. ; info:eu-repo/semantics/publishedVersion

Doutoramento em Economia ; By focusing on the relationship between financial stability and monetary policy for the cases of Chile, Colombia, Japan, Portugal and the UK, this thesis aims to add to the existing literature on the fundamental issue of the relationship between financial stability and monetary policy, a traditional topic that gained importance in the aftermath of the GFC as Central Banks lowered policy rates in an effort to rescue their economies. As the zero-lower bound loomed and the reach of traditional monetary policy narrowed, policy makers realised that alternative frameworks were needed and hence, macroprudential policy measures aimed at targeting the financial system as a whole were introduced. The second chapter looks at the relationship between monetary policy and financial stability, which has gained importance in recent years as Central Bank policy rates neared the zero-lower bound. We use an SVAR model to study the impact of monetary policy shocks on three proxies for financial stability as well as a proxy for economic growth. Monetary policy is represented by policy rates for the EMEs and shadow rates for the AEs in our chapter. Our main results show that monetary policy may be used to correct asset mispricing, to control fluctuations in the real business cycle and also to tame credit cycles in the majority of cases. Our results also show that for the majority of cases, in line with theory, local currencies appreciate following a positive monetary policy shock. Monetary policy intervention may indeed be successful in contributing to or achieving financial stability. However, the results show that monetary policy may not have the ability to maintain or re-establish financial stability in all cases. Alternative policy choices such as macroprudential policy tool frameworks which are aimed at targeting the financial system as a whole may be implemented as a means of fortifying the economy. The third chapter looks at the institutional setting of the countries in question, the independence of the Central Bank, the political environment and the impact of these factors on financial Abstract stability. I substantiate the literature review discussion with a brief empirical analysis of the effect of Central Bank Independence on credit growth using an existing database created by Romelli (2018). The empirical results show that there is a positive relationship between credit growth and the level of Central Bank Independence (CBI) due to the positive and statistically significant coefficient on the interaction term between growth in domestic credit to the private sector and the level of CBI. When considering domestic credit by deposit money banks and other financial institutions, the interaction term is positive and statistically significant for the case of the UK for the third regression equation. A number of robustness checks show that the coefficient is positive and statistically significant for a number of cases when implementing a variety of estimation methods. Fluctuations in credit growth are larger for higher levels of CBI and hence, in periods of financial instability or ultimately financial crises, CBI would be reined back in an effort to re-establish financial stability. Based on the empirical results, and in an effort to slow down surging credit supply and to maintain financial stability, policy makers and governmental authorities should attempt to decrease the level of CBI when the economy shows signs of overheating and credit supply continues to increase. The fourth chapter looks at the interaction between macroprudential policy and financial stability. The unexpected interconnectedness of the global economy and the economic blight that occurred as a result of this, recapitulated the need to implement an alternative policy framework aimed at targeting the financial system as a whole and hence, targeting the maintenance of financial stability. In this chapter, an index of domestic macroprudential policy tools is constructed and the effectiveness of these tools in controlling credit growth, managing GDP growth and stabilising inflation growth is studied using a dynamic panel data model for the period between 2000 and 2017. The empirical analysis includes two panels namely an EU panel of 27 countries and a Latin American panel of 7 countries, the chapter also looks at a case study of Japan, Portugal and the UK. Our main results find that a tighter macroprudential policy tool stance leads to a decrease in both credit growth and GDP growth while, a tighter macroprudential policy tool stance results in higher inflation in the majority of cases. Further, we find that capital openness plays a more important role in the case of Latin America, this may be due to the region's dependence on foreign capital flows and exchange rate movements. Lastly, we find that, in times of higher perceived market volatility, GDP growth tends to be higher and inflation growth tends to be lower in the EU. In the other cases, higher levels of perceived market volatility result in higher inflation, higher credit growth and lower GDP Abstract growth. This is in line with expectations as an increase in perceived market volatility is met with an increased flow of assets into safer markets such as the EU. This thesis establishes a relationship between financial stability and monetary policy by studying the response of Chile, Colombia, Japan, Portugal and the UK in the aftermath of the GFC as Central Banks lowered policy rates in an effort to rescue their economies. In short, the results of the work conducted in this thesis may be summarised as follows. Our results show that monetary policy contributes to the achievement of financial stability. Still, monetary policy alone is not sufficient and should be reinforced by less traditional policy choices such as macroprudential policy tools. Secondly, we find that the level of CBI should be reined in in times of surging credit supply in an effort to maintain financial stability. Finally, we conclude that macroprudential policy tools play an important role in the achievement of financial stability. These tools should complement traditional monetary policy frameworks and should be adapted for each region. ; info:eu-repo/semantics/publishedVersion

This paper shows that the recent surge in savings is a result of tighter macroprudential policy. Using a difference-in-differences approach with staggered treatment adoption, we find that households in EU countries that adopted macroprudential policy between 2000 and 2019 increased their savings up to one third more than households in countries without macroprudential policy. Furthermore, our results indicate that the loan-to-value ratio explains most of the variation on savings. Finally, we find that a longer exposure to macroprudential policy exacerbates savings with searing consequences on growth. ; info:eu-repo/semantics/publishedVersion