Effects of Macroprudential Policy Shocks on Macroeconomic and Financial Stability in Peru: An SVAR Analysis

Abstract

While empirical literature on macroprudential policy exists for both advanced and emerging economies, studies that simultaneously analyze its effects on macroeconomic and financial variables within the Peruvian context are scarce, limiting the availability of evidence for the design of public policies aimed at preserving national financial system stability. This study sought to fill that gap by analyzing the effects of macroprudential policy on the preservation of macroeconomic and financial stability in Peru over the period 2003–2022, using monthly data. The policy tools evaluated are the global capital ratio and the reserve requirement; the stability variables considered include credit, asset prices, capital flows, liquidity, gross domestic product, inflation, and the exchange rate. Following a quantitative approach, a Structural Vector Autoregression econometric model was employed. The results suggest that the global capital ratio reduces credit, while the reserve requirement helps maintain liquidity in the banking system. From a financial stability perspective, these contractionary effects on credit and capital flows are desirable, as they reflect the capacity of these instruments to moderate the accumulation of systemic vulnerabilities. Additionally, favorable effects on asset prices were found, along with more moderate effects on GDP containment, CPI stability, and exchange rate control. Overall, the results indicate that macroprudential policies contribute positively to safeguarding the financial system and maintaining macroeconomic stability in Peru.