Macroprudential Policy in the Euro Area

Wed, 01 Jan 2025 00:00:00 +0000

Research question and motivation. There is now broad consensus that monetary authorities should hold a financial-stability mandate and that macroprudential policy should be part of it, yet evidence on the macroeconomic effectiveness of these policies and their interaction with monetary policy remains thin and inconclusive. The paper addresses this gap for the euro area, a case of special interest because of its international structure and because, within the short life of the euro, member states experienced major episodes of financial instability (the great financial crisis, GFC, and the sovereign debt crisis). The contribution is twofold: (1) build a novel aggregate index of the euro-area macroprudential policy stance and document its stylized facts since 1999; (2) be the first to identify, within a structural econometric framework, both unanticipated (surprise) and anticipated (news) exogenous macroprudential policy shocks and trace their macroeconomic effects.

Álvaro Fernández-Gallardo | Macro Paper Warehouse

Macroprudential Policy in the Euro Area