Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/237272 
Year of Publication: 
2021
Citation: 
[Journal:] Financial Innovation [ISSN:] 2199-4730 [Volume:] 7 [Issue:] 1 [Publisher:] Springer [Place:] Heidelberg [Year:] 2021 [Pages:] 1-25
Publisher: 
Springer, Heidelberg
Abstract: 
The study empirically assesses how macroprudential policy interacts with systemic risk, industrial production, and monetary intervention on a global level from January 2006 to December 2018. We adopt the aggregate proxies of these variables, capturing their global effects, and use a novel econometric technique, namely, smooth local projections. The study finds that global macroprudential policy leads the monetary policy, exhibiting a countercyclical pattern concerning industrial production. The latter has an inverse bidirectional linkage with systemic risk. Thus, an ex-ante tight macroprudential policy can indirectly mitigate global systemic risk through its pro-growth effect on industrial production, although no convincing evidence exists for the direct impact of a macroprudential intervention on systemic risk. The study results endure several extensions and a robustness check, which builds on alternative measures of global systemic stress and real economic activity, thereby legitimizing the increased importance attached to the macroprudential policy since the 2007-2009 global financial crisis.
Subjects: 
Industrial production
Macroprudential policy
Monetary policy
Smooth local projections
Systemic risk
JEL: 
C32
G01
G18
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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