Macroprudential policy and its impact on the credit cycle

Abstract We identify a novel set of macroprudential policy shocks and estimate their effects on credit cycle variables in panel 13 EU countries between 1999 2018. find that typical tightening shock reduces bank credit-to-GDP by 2.4% points household 2.2% over period four years. The non-financial corporations total ratios, however, do not react significantly. Using state-dependent local projections, we further the ratios are stronger upturns than downturns. also detect sizable leakage firm from banking to non-banking sector next shift credit.