Macroprudential policy effectiveness and interaction with monetary policy: Lessons from debt service-to-income cap implementation in Kazakhstan

IF 2.8 2区经济学 Q1 ECONOMICS

Economic Systems Pub Date : 2024-08-16 DOI:10.1016/j.ecosys.2024.101254

Zhandos Ybrayev, Azamat Baizakov, Erlan Kailrullayev, Dana Mukhambetzhanova

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Abstract

We take advantage of the early adoption of the debt-service-to-income cap (DSTI) measure in Kazakhstan, as well as available granular information from the local credit registry to study the effects of macroprudential instruments on core financial stability parameters. Our results show that implementation of a DSTI cap of 50 % leads to around a 9 % decrease in 12 months in the amount of outstanding debt on average for the range of credits originated just around the introduction of the DSTI cap. We find that DSTI cap implementation decreased the probability of delinquency rates of loans by about 20 % in 12 months on average compared to credits granted before the realization of the DSTI cap. We provide evidence on the importance of loan size heterogeneity across time when estimating the impact of macro-prudential intervention, which is partly overlooked in the existing literature. Finally, our results suggest that macroprudential and monetary policy tools can be complementary depending on the specific business cycle developments.

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宏观审慎政策的有效性以及与货币政策的互动：哈萨克斯坦实施偿债与收入比率上限的经验教训

我们利用哈萨克斯坦较早采用的偿债与收入比率上限（DSTI）措施，以及当地信贷登记处提供的细粒度信息，研究宏观审慎工具对核心金融稳定参数的影响。我们的研究结果表明，实施 50% 的 DSTI 上限后，就在引入 DSTI 上限的 12 个月内，一系列信贷的未偿债务额平均下降了约 9%。我们发现，与实现 DSTI 上限之前发放的贷款相比，DSTI 上限的实施使贷款在 12 个月内的拖欠率平均降低了约 20%。我们提供的证据表明，在估算宏观审慎干预的影响时，不同时间段的贷款规模异质性非常重要，而现有文献部分忽略了这一点。最后，我们的研究结果表明，根据具体的商业周期发展情况，宏观审慎和货币政策工具可以相辅相成。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economic Systems ECONOMICS-

CiteScore

4.90

自引率

0.00%

发文量

审稿时长

48 days

期刊介绍： Economic Systems is a refereed journal for the analysis of causes and consequences of the significant institutional variety prevailing among developed, developing, and emerging economies, as well as attempts at and proposals for their reform. The journal is open to micro and macro contributions, theoretical as well as empirical, the latter to analyze related topics against the background of country or region-specific experiences. In this respect, Economic Systems retains its long standing interest in the emerging economies of Central and Eastern Europe and other former transition economies, but also encourages contributions that cover any part of the world, including Asia, Latin America, the Middle East, or Africa.