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Abstract

I uncover heterogeneous effects of macroprudential policy on the GDP growth distribution by bringing together the literature on the impact of macroprudential policy and recent developments on the use of quantile regressions to identify effects on growth-at-risk. I identify important benefits of macroprudential policy on the left-tail of the GDP growth distribution, which contrast with the negative effects found in the median. I find that the impact of macroprudential policy is highly dependent on the position in the financial cycle, the direction of the policy, the type of instrument, and the time elapsed since its implementation. Tightening capital measures during expansions may take up to two years in evidencing benefits on growth-at-risk, while the positive impact of borrower-based measures is rapidly observed. This suggests the need of implementing capital measures early enough in the cycle; while borrowerbased measures can be tightened in more advanced stages. Conversely, in downturns the benefits of loosening capital measures are more immediate, while those of borrower-based measures are limited. Overall, this study provides a useful framework to assess the impact of macroprudential policy in terms of GDP growth and to identify the term-structure of specific types of instruments