Background and Context
Research Focus
This study examines how institutional quality and regulatory frameworks influence the effectiveness of macroprudential policies in managing bank systemic risk across OECD countries.
Data Coverage
Analysis covers 593 banks across 25 OECD countries from 2001-2013, using data from Bankscope, Bloomberg, Thomson-Reuters, and IMF surveys.
Methodology
Research employs regression analysis examining how country-specific institutional features condition the relationship between macroprudential policies and systemic risk measures.
Impact of Institutional Quality on Macroprudential Policy Effectiveness
- Negative coefficients indicate stronger risk reduction effects
- Higher institutional quality amplifies the effectiveness of macroprudential policies
- Rule of law shows the strongest effect in enhancing policy impact
Differential Effects of Lender vs Borrower Targeted Policies
- Borrower-targeted instruments show larger risk reduction effects
- FITI primarily affects financial institutions directly
- BTI has stronger impact through real estate market channels
Regulatory Framework Effects on Policy Implementation
- Capital stringency enhances effectiveness of both policy types
- Supervisory power shows opposing effects on FITI versus BTI
- External governance has stronger impact on borrower-targeted policies
Macroeconomic Controls and Policy Effectiveness
- Inflation shows strongest impact on systemic risk
- GDP growth has modest stabilizing effect
- Policy rates show minimal impact on risk levels
Contribution and Implications
- First study to comprehensively examine how country-specific institutional settings affect macroprudential policy effectiveness
- Demonstrates that institutional quality and regulatory frameworks are crucial for policy implementation success
- Provides evidence that different types of macroprudential policies require different institutional support for maximum effectiveness
Data Sources
- Institutional Quality Chart: Constructed using interaction coefficients from Table 2, columns 3-4
- Targeted Policies Chart: Based on FITI and BTI coefficients from Table 3, columns 1-2
- Regulatory Framework Chart: Created using interaction terms from Table 3, columns 5-6
- Bank Controls Chart: Derived from control variable coefficients in Table 2, column 1
- Macroeconomic Controls Chart: Based on macro variable coefficients from Table 2, column 1
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