Sudden surges and macroprudential policies

ABSTRACT

This paper estimates the unconditional probability of a sudden surge in private credit and investigates the extent to which macroprudential policies impact the duration of the period preceding such a surge. While we observe sudden surges of credit over periods in which macroprudential policies were enacted, we document that these policies were effective at lowering the probability of credit booms between 2000 and 2013.

KEYWORDS:

• Macroprudential polices
• credit surges
• credit booms
• financial cycles

JEL CLASSIFICATION:

• E58
• G18
• G28

Disclosure statement

No potential conflict of interest was reported by the authors.

Correction Statement

This article has been republished with minor changes. These changes do not impact the academic content of the article.