This paper presents the main findings of an International Banking Research Network initiative examining the interaction between monetary policy and macroprudential policy in determining international bank lending. We give an overview on the data, empirical specifications and results of the seven papers from the initiative. The papers are from a range of core and smaller advanced economies, and emerging markets. The main findings are as follows. First, there is evidence that macroprudential policy in recipient countries can partly offset the spillover effects of monetary policy conducted in core countries. Meanwhile, domestic macroprudential policy in core countries can also affect the cross-border transmission of domestic monetary policy via lending abroad, by limiting the increase in lending by less strongly capitalised banks. Second, the findings highlight that studying heterogeneities across banks provides complementary insights to studies using more aggregate data and focusing on average effects. In particular, we find that individual bank characteristics such as bank size or G-SIB status play a first-order role in the transmission of these policies. Finally, the impacts differ considerably across prudential policy instruments, which also suggests the importance of more granular analysis.

This paper studies whether domestic macroprudential policy may attenuate the inward transmission of monetary policy shocks from the United States to domestic bank lending growth in three emerging market economies—Chile, Mexico, and Russia. Identification relies on banks’ heterogeneous exposure to prudential policies and the fact that foreign monetary policy shocks are exogenous from the perspective of these economies. After analyzing the effects of the aggregate domestic prudential policy stance, we focus on specific prudential policies targeting mortgage and consumer loans, as well as foreign‐currency deposits. Although our overall results are mixed, we find evidence that the strength of international monetary policy spillovers varies depending on the stance of domestic macroprudential policy. In particular, a tighter reserve requirement stance over foreign‐currency deposits in Chile dampens the effect of an international monetary policy shock on domestic local‐currency lending, but reinforces that on foreign‐currency lending, whereas in Russia, it dampens the effect on both local‐currency and foreign‐currency lending, although to different degrees. Prudential policies targeting the asset side of banks’ balance sheets, such as mortgage loans or consumer credit, are found to amplify international monetary policy spillovers in some cases and attenuate it in others, depending on the country context.

This paper presents the main findings of an International Banking Research Network initiative examining the interaction between monetary policy and macroprudential policy in determining international bank lending. We give an overview on the data, empirical specifications and results of the seven papers from the initiative. The papers are from a range of core and smaller advanced economies, and emerging markets . The main findings are as follows. First, there is evidence that macroprudential policy in recipient countries can partly offset the spillover effects of monetary policy conducted in core countries. Meanwhile, domestic macroprudential policy in core countries can also affect the cross‐border transmission of domestic monetary policy via lending abroad, by limiting the increase in lending by less strongly capitalized banks. Second, the findings highlight that studying heterogeneities across banks provides complementary insights to studies using more aggregate data and focusing on average effects. In particular, we find that individual bank characteristics such as bank size or GSIB status play a first‐order role in the transmission of these policies. Finally, the impacts differ considerably across prudential policy instruments, which also suggests the importance of more granular analysis.

We develop a model of analysing the optimal combination of macroprudential and monetary policies in a small open commodityexporting economy. Unlike a closed economy, where monetary and macroprudential policies tend to be substitutes, in a small open economy the optimal policy mix depends on the specifics of shocks and economic structure. Monetary and macroprudential policies tend to complement each other when the degree of pass-through of credit spreads into marginal costs and prices are sufficiently high, or when a credit boom is caused by a commodity boom, a fraction of consumers lacks access to financial markets, and the government follows a fiscal policy rule. The two policies are substitutes when the complementarity between domestic and imported production inputs is sufficiently high.

In this study, I forecast CPI inflation in Russia using the method of Dynamic Model Averaging pseudo out-of-sample on historical data. This method can be viewed as an extension of Bayesian Model Averaging, where the identity of the model that generates data is allowed to change over time, as are the model parameters. DMA is shown not to produce forecasts superior to simpler benchmarks, even if a subset of individual predictors is pre-selected 'with the benefit of hindsight' from the full sample. The two groups of predictors that give the highest average values for the posterior inclusion probability are loans to non-financial firms and individuals, along with actual and anticipated wages.

This paper surveys a recent IBRN initiative that studied the interactions of monetary and macroprudential policies. The general research questions is: To what extent does macroprudential policy reshape the transmission of monetary policy? The concrete context differs across studies. There are three main findings. First, domestic prudential policy in recipient economies can partially offset inward transmission from systemic economies to domestic lending, with the size of the effect being heterogeneous across banks in source countries. Second, the stance of prudential policy in the source economy also matters and can affect the intensity of outward monetary transmission. Finally, there is much heterogeneity in the strength of effect across different prudential instruments.

This short report surveys main findings of a recent multi-country research effort within the IBRN network. 17 national teams used confidential supervisory bank-level data to study international transmission of monetary policy changes in systemic countries into bank lending to private non-financial borrowers worldwide. Two channels of transmission, the bank funding channel and asset rebalancing channel, are tested separately. The effect of monetary policy changes in the US on domestic lending is statistically significant in most specifications. The economic significance of the estimated effect is relatively higher for more financially open economies and emerging markets.