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  • Joint ECB and Banco de Portugal conference on

The use of narrative information in assessing the effectiveness of macroprudential policies

17 November 2017

Pousada de Lisboa, Praça do Comércio, 31-34 Lisbon


Opening remarks

David Romer, Professor of Political Economy, University of California, Berkeley


Introductory session

Introducing the new data set on policy actions of a macroprudential nature in Europe 1995-2014

Presenter: Katarzyna Budnik, European Central Bank


Session I: Studies exploring policy actions datasets: challenges and best practices

Chair: John Fell, European Central Bank


The use and effectiveness of macroprudential policies: new evidence

Presenter: Eugenio Cerutti, International Monetary Fund
Co-authors: Stijn Claessens and Luc Laeven


Can non-interest rate policies stabilise housing markets? Evidence from a panel of 57 economies

Presenter: Ilhyock Shim, Bank for International Settlements
Co-author: Kenneth N Kuttner


Coffee break


Macroprudential policies to mitigate financial system vulnerabilities

Presenter: Stijn Claessens, Bank for International Settlements
Co-authors: Swati R. Ghosh and Roxana Mihet


Cross-border prudential policy spillovers: How much? How important? Evidence from the International Banking Research Network

Presenter: Claudia Buch, Vice-President of the Deutsche Bundesbank
Co-author: Linda S. Goldberg


Research panel

Designing narrative-based studies Remaining challenges and further applications

with Eugenio Cerutti, Ilhyock Shim, Stijn Claessens and Claudia Buch




Session II: Effectiveness of macroprudential tools: global, regional and country studies

Chair: Ana Cristina Leal, Banco de Portugal


Changes in prudential policy instruments: a new cross-country database

Presenter: Ricardo Correa, Board of Governors of the Federal Reserve System
Co-authors: Eugenio Cerutti, Elisabetta Fiorentino, and Esther Segalla


How effective are macroprudential policies? An empirical investigation

Presenter: Ozge Akinci, Federal Reserve Bank of New York
Co-author: Jane Olmstead-Rumsey


Macroprudential policies and housing prices: a new database and empirical evidence for central, eastern, and south-eastern Europe

Presenter: Ursula Vogel, Deutsche Bundesbank
Co-authors: Enrica Detragiache and Jérôme Vandenbussche


Reserve requirements as a macroprudential instrument – Empirical evidence from Brazil

Presenter: Pascal Towbin, Swiss National Bank
Co-author: Christian Glocker


Coffee break


Research panel

Describing the timing and measuring the intensity of macroprudential policies. Where do we stand?

with Ricardo Correa, Ozge Akinci, Ursula Vogel and Pascal Towbin


Policy panel

The need for evidence-based macroprudential policy-making

Moderator: Sergio Nicoletti Altimari, Director General of Macro-Prudential Policy and Financial Stability Directorate at the European Central Bank


  • Sharon Donnery, Deputy Governor of the Central Bank of Ireland
  • Tomas Garbaravičius, Member of the Executive Board of the Bank of Lithuania
  • Boris Vujčić, Governor of the Central Bank of Croatia

Closing address

Luís Laginha de Sousa, Member of the Executive Board of the Banco de Portugal

This programme may be subject to change without notice.

About the conference


The new era of financial regulation is marked by the importance of macroprudential policy. Many central banks and supervisory authorities have acquired additional responsibility for the stability of the financial sector as a whole and have been equipped with new instruments to maintain stability. The instruments at their disposal include inter alia the new set of Basel III capital buffers and often a range of borrower-based and liquidity instruments.

Against this backdrop, there is an increasing need to evaluate the effectiveness of various instruments in countering systemic risks. The literature on this topic has developed quickly and evolved along several paths. Structural models, including dynamic stochastic general equilibrium (DSGE) models, have been employed to investigate the transmission channels of new instruments. Time-series models or studies based on microdata and cross-sectional variation have supplied empirical assessments of the effects of higher bank capitalisation on liquidity.

Another important strand in the literature on the effectiveness of macroprudential policies is related to a seminal paper by Romer and Romer (2010). This and similar studies use narrative information on the exact timing and type of distinct policy events. Their advantage is that they pin down the effects of policies directly, rather than the impact of changes in the intermediary targets of these policies such as bank capital. Furthermore, they constitute a convenient platform to compare the effectiveness of different types of policies and the interactions between them.

The key challenge for narrative-based studies is the availability of data on relevant policy events. Constructing a dataset commonly involves substantial effort, starting with proposing a working definition of a macroprudential measure and looking closely at the regulatory history of the country in question, and, for cross-country studies, ensuring comparability of information. For this reason, a large share of narrative studies on macroprudential policies work with very few databases, with prominent examples being the databases developed by the International Monetary Fund (Lim et al., 2011) and the Bank for International Settlements (Kuttner and Shim, 2013).

This conference will bring together policymakers and researchers and invite them to discuss the possibilities and challenges of narrative-based studies on the effectiveness of macroprudential policies. It will take stock of this strand of the literature, evaluating to what degree it might inform ongoing policy discussions. The conference will also provide an opportunity to present for the first time the comprehensive Macroprudential Policies Evaluation Database (MaPPED), including information on macroprudential policy actions in all EU Member States from 1995 to 2015. This database has been developed in close cooperation with central banks and supervisory authorities in the EU over 2016 and 2017 in order to facilitate narrative-based studies on macroprudential policies in the region.


The conference will focus on the following topics:

  • Data sources on the use of macroprudential instruments: best practices in constructing a database, defining a macroprudential measure and measuring the intensity of macroprudential policies
  • Global, regional and country narrative-based studies: what have we learned about the effectiveness of macroprudential instruments, the interactions between them and the merits of policy packages?
  • Cross-country variation in the choice and frequency of use of macroprudential instruments: what are its main sources?
  • Methodologies exploring narrative data: case-studies, natural experiments, and time-series and panel-based approaches
Attending the conference

The invitation to attend the conference is extended to:

  • members of the European Central Bank’s Financial Stability Committee (FSC)
  • members of any department within the European System of Central Banks (ESCB) represented in the substructures of the FSC who are working on topics related to the content of the conference
  • members of any EU or international financial institution (e.g. the Bank for International Settlements, the Federal Reserve System or the International Monetary Fund) who are working on topics related to the content of the conference

However, owing to space limitations, places for non-FSC attendees will be limited to two participants from each institution (not including the invited speakers).


Travel and accommodation expenses of all attendees are to be covered by their own ESCB entity or EU or international financial institution. Costs of participants from academic institutions may be reimbursed by the organisers upon request. No conference fee will be charged.

Organising committee
  • Katarzyna Budnik (European Central Bank)
  • John Fell (European Central Bank)
  • Eóin Flaherty (European Central Bank)
  • Aurea Marques (European Central Bank)
  • Carmelo Salleo (European Central Bank)

General information

Conference venue

Pousada de Lisboa
Praça do Comércio, 31-34

Conference language



Participants are requested to arrange their own transfers unless indicated otherwise.


For further information please contact