Ensaios em Políticas Macroprudenciais

Abstract

The objective of this Thesis is to contribute to the literature on the effects of macroprudential policies on economic variables through the elaboration of two essays. We investigate the effectiveness of macroprudential tools and their interaction with monetary policy using a comprehensive cross-country database of 37 countries. For that purpose, we calculate Taylor rules and macroprudential policy indexes for each country, combining them in fixed effects and dynamic panel data regressions. Our results indicate that macroprudential policies have an asymmetric effect on banks' risktaking with more pronounced effects when a diverse set of instruments is used. However, tightening measures are less effective in enhancing financial stability when a country is already in a restrictive monetary policy stance. This result is associated with the fact that, in such stances, these measures tend to reduce banks' profitability, thereby compromising financial stability. The results bring new evidence of the possible conflict between monetary and macroprudential policies when dealing with systemic risk. In the second essay, we examine the effects of tightening macroprudential policies on the default rate, total amount of defaults, and credit volumes for micro and small enterprises in Brazil, through fixed effects panel data regressions. Our results indicate that the tightening of macroprudential policies increases the default rate in these enterprises, primarily due to a reduction in the total credit volume that exceeds the decrease in total amount of defaults. This situation suggests a market shift where viable credit is forced out, leaving behind a higher concentration of riskier credit.