Frédéric Opitz

Macroprudential policy and its impact on the credit cycle

Journal of Financial Stability, 53, April 2021 [Working Paper Version]

(with Selien De Schryder)

We identify a novel set of macroprudential policy shocks and estimate their effects on credit cycle variables in a panel of 13 EU countries during 1999-2018. We find that a typical macroprudential policy tightening shock reduces bank credit-to-GDP by 1.8% points and household credit-to-GDP by 1.6% points over a period of four years. The non-financial corporations and total credit-to-GDP ratios, however, do not react significantly. Using state-dependent local projections, we further find that the effects on the credit-to-GDP ratios are stronger in credit cycle upturns than in downturns. We also detect a sizable leakage of firm credit from the banking to the non-banking sector next to a shift from firm to household credit.

Monetary Policy and US Housing Expansions: The Case of Time-Varying Supply Elasticities

Economics Letters, 195, October 2020. [Online appendix] [Summary: VoxEU column and Bank Underground blog]

(with Bruno Albuquerque and Martin Iseringhausen)

We challenge the assumption in the literature of constant housing supply elasticities across housing expansions. Using a time-varying parameter (TVP)-VAR model on monthly US data since the early 1990s, we find that the response of housing supply to an expansionary monetary policy shock relative to the response of house prices has declined substantially since the Great Financial Crisis (GFC). Our findings are consistent with research suggesting that land-use regulation has tightened. Absent major reversions in regulation, our results point to a post-COVID-19 housing recovery characterised by a sluggish response of housebuilding to demand, but a relatively stronger response of house prices

Why narrative information matters: Evidence from the asset purchase program of the ECB, March 2020

Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 20/994, Ghent University, Faculty of Economics and Business Administration.

Heterogeneous monetary policy transmission to the housing market

(with Bruno Albuquerque and Martin Iseringhausen)

The effect of fiscal policy on prices in the euro area

(with K. Bankowski and J. Cimadomo)