We used a time-series cross-section dataset to test several hypotheses pertaining to the role of macroprudential policy instruments in the management of the financial cycle in advanced open economies. The short-run effects are most significant for caps on loan to value and income (LTV and LTI)...

We analyse a quarterly panel data set consisting of ten advanced open economies that have introduced macroprudential policy measures: caps on loan to value and income (LTV and LTI), and debt service to income (DSTI) requirements in particular, but also risk weights (RW), amortization (Amort)...

This paper provides a general procedure to estimate structural vector autoregressions. The algorithm can be used in constant or time-varying coefficient models, and in the latter case, the law of motion of the coefficients can be linear or non-linear. It can deal in a unified way with...

This paper assesses the performance of a simple monetary policy rule - McCallum's rule. This rule targets nominal income using the monetary base as its instrument whilst making an allowance for any on-going changes in money velocity. The paper conducts a range of historical counterfactual...

This paper provides new empirical evidence that bears on the efficacy of unconventional monetary policies when the main policy rate is negative. When a negative interest rate policy (NIRP) is deployed in concert with rate forward guidance (FG) and quantitative easing (QE), the identification of...

This paper provides new empirical evidence that bears on the efficacy of unconventional monetary policies when the main policy rate is negative. When a negative interest rate policy (NIRP) is deployed in concert with rate forward guidance (FG) and quantitative easing (QE), the identification of...

This paper provides new empirical evidence that bears on the efficacy of unconventional monetary policies when the main policy rate is negative. When a negative interest rate policy (NIRP) is deployed in concert with rate forward guidance (FG) and quantitative easing (QE), the identification of...