The study investigates effectiveness of selected credit related macro prudential instruments in reducing the correlation between economic and credit growth in European emerging countries between 2000 and 2017. Two GMM (Generalized Method of Moments) estimators are used to empirically investigate the validity of tightening policy actions. Although greater attention to MMPs is found in both European regions the study finds some differences as well. On the level of full sample, the findings confirm our expectation about effectiveness of the selected credit related macroprudential instruments in reducing credit growth. More specifically, the European transition countries proved to be more successful in using macroprudential tools in curbing credit growth than European post-transition countries. It is confirmed that all three employed credit related macroprudential instruments play a key role in curbing credit growth in the expansive stage of business cycle in the European transition countries. It means that a lower economic growth leads to lower effects of credit related macroprudential instruments on credit growth. However, empirical evidence from European post-transition countries shows mixed results followed by the lack of robustness of economic results, but with expected theoretical sign. In fact, introduction of CG limits and FC limits reduce the correlation between GDP growth and credit growth only in one step S-GMM estimator, while a variable of caps on debt-to-income ratio (DTI) not.

中文翻译：

---

与信用相关的宏观审慎工具能否有效降低经济与信用增长之间的相关性？跨国证据

该研究调查了 2000 年至 2017 年期间选定的与信贷相关的宏观审慎工具在降低欧洲新兴国家经济与信贷增长之间相关性方面的有效性。两个 GMM（广义矩量法）估计量用于实证研究紧缩政策行动的有效性。尽管两个欧洲地区都对 MMP 给予了更多关注，但该研究也发现了一些差异。在全样本层面，调查结果证实了我们对所选信贷相关宏观审慎工具在降低信贷增长方面有效性的预期。更具体地说，事实证明，与欧洲转型后国家相比，欧洲转型国家在使用宏观审慎工具抑制信贷增长方面更为成功。经证实，所有三种与信贷相关的宏观审慎工具都在抑制欧洲转型国家商业周期扩张阶段的信贷增长方面发挥了关键作用。这意味着较低的经济增长导致与信贷相关的宏观审慎工具对信贷增长的影响较小。然而，来自欧洲转型后国家的经验证据表明，结果喜忧参半，其次是经济结果缺乏稳健性，但具有预期的理论迹象。事实上，CG 限制和 FC 限制的引入仅在一步 S-GMM 估计量中降低了 GDP 增长与信贷增长之间的相关性，而债务收入比（DTI）的上限变量则没有。这意味着较低的经济增长导致与信贷相关的宏观审慎工具对信贷增长的影响较小。然而，来自欧洲转型后国家的经验证据表明，结果喜忧参半，其次是经济结果缺乏稳健性，但具有预期的理论迹象。事实上，CG 限制和 FC 限制的引入仅在一步 S-GMM 估计量中降低了 GDP 增长与信贷增长之间的相关性，而债务收入比（DTI）的上限变量则没有。这意味着较低的经济增长导致与信贷相关的宏观审慎工具对信贷增长的影响较小。然而，来自欧洲转型后国家的经验证据表明，结果喜忧参半，其次是经济结果缺乏稳健性，但具有预期的理论迹象。事实上，CG 限制和 FC 限制的引入仅在一步 S-GMM 估计量中降低了 GDP 增长与信贷增长之间的相关性，而债务收入比（DTI）的上限变量则没有。