Measuring the effectiveness of macroprudential policies using supervisory bank-level data

Papers in this volume were prepared as part of a BIS research protocol project on measuring the effectiveness of macroprudential policies using supervisory bank-level data implemented by five Asia-Pacific central banks.

One of the main challenges in implementing a new framework for financial stability is evaluating the effectiveness of macroprudential policies. In Asia and the Pacific, central banks and regulatory authorities have implemented several asset side instruments to shield the economy against the risks of volatile credit cycles. The collection of papers in this volume provides evidence on the effectiveness of these policies using supervisory bank-level data. It contains revised papers presented originally during the 11th and 12th Asian Research Network workshops held, respectively, in Wellington, New Zealand in 2018 and in Sydney, Australia in 2019.

The project focuses on the effectiveness of macroprudential policies on containing excessive household credit growth and bank risk. As supervisory bank-level data are highly confidential, it was not possible to merge them into a single data set. Instead, the BIS coordinated a common exercise and provided a research protocol to the Asian Consultative Council (ACC) central banks in June 2018. Five ACC central banks agreed to join the exercise: the Reserve Bank of Australia, Bank Indonesia, the Reserve Bank of New Zealand, Bangko Sentral ng Pilipinas and the Bank of Thailand.

This volume consists of the five country papers and a paper that summarises the results using meta-analysis techniques. The results show that macroprudential policy actions taken by the five countries are largely effective in reducing excessive household credit growth and that tightening actions have a stronger effect than easing actions. It also finds that macroprudential policy is effective in reducing bank risk as measured by the non-performing loan ratio. Each country paper further develops their own analysis including a narrative specific to their national experience.