Macroprudential stance assessment: problems of measurement, literature review and some comments for the case of Croatia
|E32, E44, E58, G01, G28, C22
systemic risk, macroprudential policy, financial stability, financial conditions, quantile regression, policy assessment, macroprudential stance, Q-VAR, growth at risk
This paper contributes to the literature on macroprudential stance assessment in two ways. Firstly, it gives a comprehensive review of related literature to see the current directions research and policy practice, alongside the problems. Secondly, it empirically evaluates different aspects and issues when assessing the macroprudential stance. The empirical part of the paper focuses on country that has a fairly active macroprudential policy to establish the initial framework for assessing the effectiveness of macroprudential policy in Croatia. Results show that somewhat different results could be obtained based on variable definition and selection. This means that measuring macroprudential stance is difficult, as it depends on the definition of the macroprudential policy variable, selection of other important variables in the analysis, as well as other methodological factors.