宏观审慎政策对工业增长的影响（英）

BISWorkingPapers No1191 Theimpactofmacroprudentialpoliciesonindustrialgrowth byCarlosMadeira MonetaryandEconomicDepartment May2024 JELclassification:E44,G28,O10,O16. Keywords:macroprudentialpolicy,financialdevelopment,growth,externalfinancedependence,creditfrictions. BISWorkingPapersarewrittenbymembersoftheMonetaryandEconomicDepartmentoftheBankforInternationalSettlements,andfromtimetotimebyothereconomists,andarepublishedbytheBank.Thepapersareonsubjectsoftopicalinterestandaretechnicalincharacter.TheviewsexpressedinthemarethoseoftheirauthorsandnotnecessarilytheviewsoftheBIS. ThispublicationisavailableontheBISwebsite(www.bis.org). ©BankforInternationalSettlements2024.Allrightsreserved.Briefexcerptsmaybereproducedortranslatedprovidedthesourceisstated. ISSN1020-0959(print) ISSN1682-7678(online) Theimpactofmacroprudentialpoliciesonindustrialgrowth CarlosMadeira×March2024 Abstract Thispaperanalysesthecausalimpactofmacroprudentialpoliciesongrowth,usingindustry-leveldatafor89countriesfortheperiod1990to2021.Thesmallindustrysizecreatesanexogenousidentificationandavoidsreverse-causality.Ifindthatmacroprudentialtighteningmeasureshave anegativeimpactonmanufacturinggrowth,butonlyforindustrieswithhighexternalfinancedependence.Thiseffectisstrongerduringbankingcrises,periodsofhigheroutputgrowthandforadvancedeconomies.Theeffectisweakerduringperiodofhighprivatecreditgrowth.Growtheffectsonexternallydependentindustriesareeconomicallysizeableandcanpersistoverthreeyears. JELClassification:E44;G28;O10;O16. Keywords:Macroprudentialpolicy;Financialdevelopment;Growth;Externalfinancedependence;Creditfrictions. EthicalStatement:Theauthorhasnoconflictsofinteresttodeclare. ×BankforInternationalSettlements(BIS),Mexico.Theauthorthanksparticipantsatseminarsandconferencesfortheircomments,includingtheCentralBankofChile(2019),IFABS(Oxford,2021),FEBS(Lille,2021),LACEA(Bogotá,2021),Aix-MarseilleSchoolofEconomics(2021),FrenchFinanceAssociation(AFFI)withAudenciaBusinessSchool(Nantes,2021),BankofRussiawithNewEconomicSchool(2021),UniversityofLillewithUniversityofPoitiers(Poitiers,2022),BankofMexico(2023),CentralReserveBankofPeru(2023),ChileanFinancialMarketCommission(2020,2023),ElsevierFinance(RiodeJaneiro,2023),NottinghamTrentUniversity(2024)andBIS(2024).IalsothanktheeditorMarkSpiegel,twoanonymousreviewers,RachelEcheto,plusmyconferencediscussants,ClaudioRaddatz,MauricioLarrain,FlorianBiermann,PeterKarlstrom,WalterCuba,ZenonQuispe,AlfredoPistelli,KevinCowan,MikhailStolbov,FlorenceHuart,MarcPourroy,BenoitMojon,KojiTakahashi,EnisseKharroubi,IlhyockShim,JonFrostandSophiaChen.Commentsarewelcomeatcarlosmadeira2009@u.northwestern.edu.TheviewsandconclusionsinthispaperareexclusivelythoseoftheauthoranddonotnecessarilyreflectthepositionoftheBISortheCentralBankofChile.Allerrorsaremyown. 1Introduction Manycountrieshaveimplementedmacroprudentialpolicies,especiallyintheaftermathoftheGreatFinancialCrisis(GFC)of2007-2008(GalatiandMoessner2018,Alametal.2019).Therearesubstantialstudiesoftheimpactofthesepoliciesincurbingexcessivecreditandhousingpricesgrowth(Ceruttietal.2017,AkinciandOlmstead-Rumsey2018,Alametal.2019).However,estimatesoftheimpactofmacroprudentialmeasuresoneconomicgrowtharestilllacking,withsomestudiesfindingaweakanduncertaineffect(Alametal.2019).Oneofthereasonsforthedifficultyinfindingareliableestimateoftheeffectoneconomicgrowthandmacroeconomicvariablesisthereversecausalityproblem,duetoauthoritiestakingintoaccounteconomicactivityintheirdecisionsoffinancialpolicy(Boaretal.2017,Ceruttietal.2017).Thisstudyaimstofillthisgap.Forthisgoal,Iuseindustry-countryleveldataasanidentificationstrategy,byassumingthattheactivityofsmallindustriesisnotacorepartoftheauthorities'policyfunction.Therefore,thenationalmacroprudentialpoliciescanbetakentobefairlyexogenousintermsoftheirimpactonthegrowthofsmallindividualindustries.1 Thisworkstudiestheimpactofmacroprudentialpoliciesontherealgrowthofapanelof23manufacturingindustriesacross89countries.Themedianindustryinthesamplestudyrepresentsjust0.32%ofGDP.Eventhelargestindustriesinthedataarestillsmall,witharound95%oftheindustriesshowingavalue-addedproductionbelow2.29%ofGDP.Thefactthateachindustryissmallrelativetothenationaleconomymakesitmorecrediblethattheempiricalanalysisisindeedestimatingtheimpactoffinancialpolicyongrowth,addressingtheissuesofreverse-causality.Therefore,themainadvantageoftheindustry-countryleveldataisthatitallowsforamoreplausibleidentificationmechanism.Asecondadvantageoftheindustryleveldata 1Thisidentificationstrategyissimilartothestudiesthatassume,forinstance,anexogenousmonetarypolicyforthecountriesintheeuroarea(Peersman2004,Jiménezetal.2012).Thereasonisthattheindividualeurozonecountriesareonlyafractionoftheeuroareaactivity.EvenalargecountrysuchasSpainrepresentonly10%oftheeurozoneoutput(Jiménezetal.2012).Therefore,thereisacommoncomponentinthemonetarypolicydecisionsthatisexogenoustoeachindividualcountryandallowsfortheidentificationofitseffectonthenationaloutcomes.Thesameidentificationmechanismisusedforidentifyin