Quantile Policy Effects: An Application to U.S. Macroprudential Policy

作     者：Lin, Hsin-Yi Hsiao, Yu-Hsiang Hsu, Yu-Chin 

作者机构：Department of Economics National Chengchi University Taipei Taiwan Central Bank of the Republic of China (Taiwan) Taipei Taiwan Institute of Economics Academia Sinica Taipei Taiwan Department of Finance National Central University Taoyuan Taiwan CRETA National Taiwan University Taipei Taiwan 

出 版 物：《Journal of Business and Economic Statistics》 (J. Bus. Econ. Stat.)

年 卷 期：2025年第43卷第1期

页      面：81-97页

学科分类：0303[法学-社会学] 0202[经济学-应用经济学] 02[经济学] 020208[经济学-统计学] 1202[管理学-工商管理] 0201[经济学-理论经济学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 0701[理学-数学] 

基　　金：Central Bank of the Republic of China (Taiwan) Ministry of Education, MOE Academia Sinica, AS, (AS-IA-110-H01) National Science and Technology Council, NSTC, (NSTC 109-2918-I-004-010, NSTC 112-2628-H-001-001, NSTC 109-2410-H-004-128 -MY2) Center for Research in Econometric Theory and Applications, (113L8601) 

主　　题：Causal effects Impulse response functions Macroprudential policy Propensity score Quantile functions 

摘      要：To assess the dynamic distributional impacts of macroeconomic policy, we propose quantile policy effects to quantify disparities between the quantiles of potential outcomes under different policies. We first identify quantile policy effects under the unconfoundedness assumption and propose an inverse probability weighting estimator. We then examine the asymptotic behavior of the proposed estimator in a time series framework and suggest a blockwise bootstrap method for inference. Applying this method, we investigate the effectiveness of U.S. macroprudential actions on bank credit growth from 1948 to 2019. Empirically, we find that the effects of macroprudential policy on credit growth are asymmetric and depend on the quantiles of credit growth. The tightening of macroprudential actions fails to rein in high credit growth, whereas easing policies do not effectively stimulate bank credit growth during low-growth periods. These findings suggest that U.S. macroprudential policies might not sufficiently address the challenges of soaring bank credit or ensure overarching financial stability. © 2024 American Statistical Association.