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Financial Spillovers and Macroprudential Policies

Joshua Aizenman, Menzie D. Chinn, Hiro Ito

NBER Working Paper No. 24105
Issued in December 2017, Revised in August 2019
NBER Program(s):The International Finance and Macroeconomics Program

We estimate the impact of the extensity of macroprudential policies on the correlation of the policy interest rates between the center economies (CEs, i.e., the U.S., Japan, and the Euro area), and the peripheral economies (PHs). We find a more extensive implementation of macroprudential policies would lead PHs to (re)gain monetary independence from the CEs when the CEs implement expansionary monetary policy; when PHs run current account deficit; when they hold lower levels of international reserves; when their financial markets are relatively closed; when they are experiencing an increase in net portfolio flows; and when they are experiencing credit expansion.

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Document Object Identifier (DOI): 10.3386/w24105

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