Macro-Prudential Policy and Bank Systemic Risk: Cross-Country Evidence Based on Emerging and Advanced Economies

References

• Acharya, V. V., L. H. Pedersen, T. M. Philippon, and M. Richardson. 2017. Measuring systemic risk. The Review of Financial Studies 30 (1):2–47. doi:10.1093/rfs/hhw088.
   Web of Science ®Google Scholar
• Adrian, T., and N. Boyarchenko. 2018. Liquidity policies and systemic risk. Journal of Financial Intermediation 35:45–60. doi:10.1016/j.jfi.2017.08.005.
   Web of Science ®Google Scholar
• Adrian, T., and M. K. Brunnermeier. 2016. CoVaR. The American Economic Review 106 (7):1705–41. doi:10.1257/aer.20120555.
   Web of Science ®Google Scholar
• Akinci, O., and J. Olmstead-Rumsey. 2018. How effective are macroprudential policies? An empirical investigation. Journal of Financial Intermediation 33:33–57. doi:10.1016/j.jfi.2017.04.001.
   Web of Science ®Google Scholar
• Alam, Z., M. A. Alter, J. Eiseman, G. Gelos, H. Kang, M. Narita, E. Nier, and N. Wang. 2019. Digging deeper–evidence on the effects of macroprudential policies from a new database. International Monetary Fund. doi:10.2139/ssrn.3370962.
   Google Scholar
• Altunbas, Y., M. Binici, and L. Gambacorta. 2018. Macroprudential policy and bank risk. Journal of International Money and Finance 81:203–20. doi:10.1016/j.jimonfin.2017.11.012.
   Web of Science ®Google Scholar
• An, H., C. Chen, Q. Wu, and T. Zhang. 2021. Corporate innovation: Do diverse boards help? Journal of Financial and Quantitative Analysis 56 (1):155–82. doi:10.1017/S0022109019001005.
   Web of Science ®Google Scholar
• Andries, A. M., F. Melnic, and S. Nistor. 2017. Effects of macroprudential policy on systemic risk and bank risk taking. Czech Journal of Economics and Finance. doi:10.2139/ssrn.3021278.
   Google Scholar
• Apergis, N., A. F. Aysan, and Y. Bakkar. 2021. How do institutional settings condition the effect of macroprudential policies on bank systemic risk? Economics Letters 209:110123. doi:10.1016/j.econlet.2021.110123.
   Web of Science ®Google Scholar
• Beck, T., O. De Jonghe, and G. Schepens. 2013. Bank competition and stability: Cross-country heterogeneity. Journal of Financial Intermediation 22 (2):218–44. doi:10.1016/j.jfi.2012.07.001.
   Web of Science ®Google Scholar
• Berger, A. N., J. Cai, R. A. Roman, and J. Sedunov. 2022. Supervisory enforcement actions against banks and systemic risk. Journal of Banking & Finance 140:106222. doi:10.1016/j.jbankfin.2021.106222.
   Web of Science ®Google Scholar
• Boar, C., L. Gambacorta, G. Lombardo, and L. A. Pereira da Silva. 2017. What are the effects of macroprudential policies on macroeconomic performance? BIS Quarterly Review. 71–88.
   Google Scholar
• Borio, C., and H. Zhu. 2012. Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? Journal of Financial Stability 8 (4):236–51. doi:10.1016/j.jfs.2011.12.003.
   Web of Science ®Google Scholar
• Butzbach, O. 2016. Systemic risk, macro-prudential regulation and organizational diversity in banking. Policy and Society 35 (3):239–51. doi:10.1016/j.polsoc.2016.09.002.
   Web of Science ®Google Scholar
• Cerutti, E., S. Claessens, and L. Laeven. 2017. The use and effectiveness of macroprudential policies: New evidence. Journal of Financial Stability 28:203–24. doi:10.1016/j.jfs.2015.10.004.
   Web of Science ®Google Scholar
• Cerutti, E., R. Correa, E. Fiorentino, and E. Segalla. 2017. Changes in prudential policy instruments-a new cross-country database. The International Journal of Central Banking 48:477–503. doi:10.2139/ssrn.2882523.
   Google Scholar
• Chen, M., Q. Kang, J. Wu, and B. N. Jeon. 2022. Do macroprudential policies affect bank efficiency? Evidence from emerging economies. Journal of International Financial Markets, Institutions and Money 77:101529. doi:10.1016/j.intfin.2022.101529.
   Web of Science ®Google Scholar
• Claessens, S., S. R. Ghosh, and R. Mihet. 2013. Macro-prudential policies to mitigate financial system vulnerabilities. Journal of International Money and Finance 39:153–85. doi:10.1016/j.jimonfin.2013.06.023.
   Web of Science ®Google Scholar
• Dubois, C., and L. Lambertini. 2018. A macroeconomic model of liquidity, wholesale funding and banking regulation. Unpublished working paper.
   Google Scholar
• Ely, R. A., B. M. Tabak, and A. M. Teixeira. 2019. Heterogeneous effects of the implementation of macroprudential policies on bank risk. Working Paper.
   Google Scholar
• Fendoğlu, S. 2017. Credit cycles and capital flows: Effectiveness of the macroprudential policy framework in emerging market economies. Journal of Banking & Finance 79:110–28. doi:10.1016/j.jbankfin.2017.03.008.
   Web of Science ®Google Scholar
• Freixas, X., L. Laeven, and J. L. Peydró. 2015. Systemic risk, crises, and macroprudential regulation. 1st ed. London: Mit Press. doi:10.7551/mitpress/9780262028691.003.0001.
   Google Scholar
• Gaganis, C., E. Galariotis, F. Pasiouras, and C. Staikouras. 2021. Macroprudential regulations and bank profit efficiency: International evidence. Journal of Regulatory Economics 59 (2):136–60. doi:10.1007/s11149-021-09424-5.
   Web of Science ®Google Scholar
• Gaganis, C., A. Lozano-Vivas, P. Papadimitri, and F. Pasiouras. 2020. Macroprudential policies, corporate governance and bank risk: Cross-country evidence. Journal of Economic Behavior & Organization 169:126–42. doi:10.1016/j.jebo.2019.11.004.
   Web of Science ®Google Scholar
• Galati, G., and R. Moessner. 2018. What do we know about the effects of macroprudential policy? Economica 85 (340):735–70. doi:10.1111/ecca.12229.
   Web of Science ®Google Scholar
• Hagendorff, J., K. Keasey, and F. Vallascas. 2018. When banks grow too big for their national economies: Tail risks, risk channels, and government guarantees. Journal of Financial and Quantitative Analysis 53 (5):2041–66. doi:10.1017/S0022109018000327.
   Web of Science ®Google Scholar
• Igan, M. D., and M. H. Kang. 2011. Do loan-to-value and debt-to-income limits work? Evidence from Korea. International Monetary Fund. doi:10.2139/ssrn.1915127.
   Google Scholar
• International Monetary Fund. 2014. Staff guidance note on macroprudential policy. IMF Policy Paper.
   Google Scholar
• Jiménez, G., S. Ongena, J. L. Peydró, and J. Saurina. 2017. Macroprudential policy, countercyclical bank capital buffers, and credit supply: Evidence from the Spanish dynamic provisioning experiments. Journal of Political Economy 125 (6):2126–77. doi:10.1086/694289.
   Web of Science ®Google Scholar
• Kim, S., and A. Mehrotra. 2022. Examining macroprudential policy and its macroeconomic effects–some new evidence. Journal of International Money and Finance 128:102697. doi:10.1016/j.jimonfin.2022.102697.
   Web of Science ®Google Scholar
• Laeven, M. L., and M. F. Valencia. 2018. Systemic banking crises revisited. International Monetary Fund. doi:10.2139/ssrn.3267233.
   Google Scholar
• Lee, M., R. C. Asuncion, and J. Kim. 2016. Effectiveness of macroprudential policies in developing Asia: An empirical analysis. Emerging Markets Finance and Trade 52 (4):923–37. doi:10.1080/1540496X.2015.1103137.
   Web of Science ®Google Scholar
• Lim, C. H., A. Costa, F. Columba, P. Kongsamut, A. Otan, M. Saiyid, T. Wezel, and X. Wu. 2011. Macroprudential policy: What instruments and how to use them? lessons from country experiences. IMF Working Paper.
   Google Scholar
• Meuleman, E., and R. Vander Vennet. 2020. Macroprudential policy and bank systemic risk. Journal of Financial Stability 47:100724. doi:10.1016/j.jfs.2020.100724.
   Web of Science ®Google Scholar
• Narayan, P. K., S. Narayan, and K. P. Prabheesh. 2014. Stock returns, mutual fund flows and spillover shocks. Pacific-Basin Finance Journal 29:146–62. doi:10.1016/j.pacfin.2014.03.007.
   Web of Science ®Google Scholar
• Narayan, P. K., S. Narayan, and K. S. Thuraisamy. 2014. Can institutions and macroeconomic factors predict stock returns in emerging markets? Emerging Markets Review 19:77–95. doi:10.1016/j.ememar.2014.04.005.
   Web of Science ®Google Scholar
• Pesaran, M. H. 2006. Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 74 (4):967–1012. doi:10.1111/j.1468-0262.2006.00692.x.
   Web of Science ®Google Scholar
• Reinhardt, D., and R. Sowerbutts. 2015. Regulatory arbitrage in action: Evidence from banking flows and macroprudential policy. Bank of England Staff Working Paper.
   Google Scholar
• Silvo, A. 2019. The interaction of monetary and macroprudential policies. Journal of Money, Credit and Banking 51 (4):859–94. doi:10.1111/jmcb.12524.
   Web of Science ®Google Scholar
• Yao, F., and B. Lu. 2020. The effectiveness of loan-to-value ratio policy and its interaction with monetary policy in New Zealand: An empirical analysis using supervisory bank-level data. BIS Paper.
   Google Scholar