| Abstract: |
This paper documents the features of a new database that focuses on changes in
the intensity in the usage of several widely used prudential tools, taking
into account both macro-prudential and microprudential objectives. The
database coverage is broad, spanning 64 countries, and with quarterly data for
the period 2000Q1 through 2014Q4. The five types of prudential instruments in
the database are: capital buffers, interbank exposure limits, concentration
limits, loan to value (LTV) ratio limits, and reserve requirements. A total of
nine prudential tools are constructed since some useful further decompositions
are presented, with capital buffers divided into four sub-indices: general
capital requirements, real state credit specific capital buffers, consumer
credit specific capital buffers, and other specific capital buffers; and with
reserve requirements divided into two sub-indices: domestic currency capital
requirements and foreign currency capital requirements. While general capital
requirements have the most changes from the cross-country perspective, LTV
ratio limits and reserve requirements have the largest number of tightening
and loosening episodes. We also analyze the instruments’ usage in relation to
the evolution of key variables such as credit, policy rates, and house prices,
finding substantial differences in the patterns of loosening or tightening of
instruments in relation to business and financial cycles. |