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Online Appendix
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DATABASE DEVELOPED IN "Changes in Prudential Policy Instruments-A New Cross-Country Database" by Eugenio Cerutti, Ricardo Correa, Elisabetta Fiorentino and Esther Segalla. International Journal of Central Banking, March 2017.
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This version: January 2025
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Variable nameVariable definition
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Time indicators and country identifiers
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yearyear
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quarterquarter
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qdateQuarterly date
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countryCountry name
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biscodeBIS country code
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ifscodeIFS country code
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Changes in prudential instruments
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sscb_resChange in sector specific capital buffer: Real estate credit. Requires banks to finance a larger fraction of these exposures with capital.
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sscb_consChange in sector specific capital buffer: Consumer credit Requires banks to finance a larger fraction of these exposures with capital.
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sscb_othChange in sector specific capital buffer: Other sectors. Requires banks to finance a larger fraction of these exposures with capital.
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cap_reqChange in capital requirements. Implementation of Basel capital agreements.
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concratChange in concentration limit. Limits banks' exposures to specific borrowers or sectors.
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ibexChange in interbank exposure limit. Limits banks exposures to other banks.
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ltv_capChange in the loan-to-value ratio cap. Limits on loans to residential borrowers.
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rr_foreignChange in reserve requirements on foreign currency-denominated accounts.
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rr_local Change in reserve requirements on local currency-denominated accounts.
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ccybChange in the countercyclical capital buffer
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Aggregate indexes
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sscbSum of changes in sector-sepcific capital buffers across the residental, consumer, and other sectors.
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PruCCountry index by time t and country c, equal to 1 if the sum of the 9 instruments is >=1 and -1 if the sum of the instruments is <=-1, 0 otherwise.
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PruC2Country index by time t and country c, equal to 1 if the sum of the 9 instruments is >=1 and -1 if the sum of the instruments is <=-1, 0 otherwise. In this case, all individual instruments are adjusted to have maximum and minimum changes of 1 and -1.
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Cumulative indexes (relative to 2000q1)
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cum_sscb_resCumulative change in sector specific capital buffer: Real estate credit
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cum_sscb_consCumulative change in sector specific capital buffer: Consumer credit
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cum_sscb_othCumulative change in sector specific capital buffer: Other sectors
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cum_cap_reqCumulative change in capital requirements
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cum_concratCumulative change in concentration limit
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cum_ibexCumulative change in interbank exposure limit
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cum_ltv_capCumulative change in the loan-to-value cap
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cum_rr_foreignCumulative change in reserve requirements on foreign currency-denominated accounts
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cum_rr_localCumulative change in reserve requirements on local currency-denominated accounts
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cum_sscbCumulative change in the aggregate sector-specific capital buffer instrument.
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cum_ccybCumulative change in the countercyclical capital buffer
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cum_PruCSum of the cumulative version of the 9 instruments by country c and time t
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cum_PruC2Sum of the cumulative version of the 9 instruments by country c and time t. In this case, all individual instruments are adjusted to have maximum and minimum changes of 1 and -1.
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Missing code definition (codes for missing values entered in the database)
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.bThe instrument is not available in the country.
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