Assessing the effects of borrower-based macroprudential policy on credit in the EU using intensity-based indices

We construct new intensity -adjusted indices of macroprudential policy announcements for 28 European Union (EU) economies. The indices are able to capture the restrictiveness and bindingness of the macroprudential policy actions and are used to assess the effectiveness of borrower -based macroprudential policy in reducing credit in the EU from 2003 to 2019. Our results indicate that these macroprudential tools have successfully reduced household, housing, and, to a smaller extent, consumption credit in the long run. Moreover, we find that the measured effects change by taking into account the various dimensions of the policy changes' intensity, including their legal enforceability.