Supporting Data, Code, and Documentation for “Policy Interactions and Systemic Stability: How Monetary Conditions Influence Macroprudential Effectiveness?”

This repository contains supporting data, code, and documentation for the article “Policy Interactions and Systemic Stability: How Monetary Conditions Influence Macroprudential Effectiveness?” The study examines how monetary policy conditions affect the effectiveness of macroprudential instruments using a panel of 37 countries from 2011 to 2021 and fixed-effects and system-GMM models. Our results show that only tools targeting bank capital and liquidity significantly reduce systemic risk, measured via an aggregate country-level banks’ Z-score. Importantly, their effectiveness is substantially weakened under a restrictive monetary stance, revealing a critical policy interaction transmitted through bank profitability. The materials include publicly shareable datasets, Taylor Gap data, available data-management and estimation code, and documentation of data sources and of the procedures used to generate the manuscript tables and figures. Because the original Thomson Reuters data are proprietary and cannot be redistributed, they are not included in this repository. Instead, synthetic counterparts of the Reuters-derived variables are provided, together with documentation of the extraction filters and data-processing procedures.本仓库包含论文《政策互动与系统性稳定：货币政策环境如何影响宏观审慎政策有效性？》的配套数据、代码与文档。本研究基于2011至2021年37个国家的面板数据，采用固定效应模型与系统广义矩估计（system-GMM）方法，考察货币政策环境对宏观审慎工具有效性的影响。研究结果表明，仅针对银行资本与流动性的工具可显著降低系统性风险——该风险以国家层面银行整体Z值（Z-score）进行衡量。尤为关键的是，在紧缩货币政策立场下，此类工具的有效性会大幅削弱，揭示出通过银行盈利能力传导的核心政策互动机制。本仓库包含可公开共享的数据集、泰勒缺口（Taylor Gap）数据、可用的数据管理与估计代码，以及数据来源说明与论文表格、图表的生成流程文档。由于原始汤森路透（Thomson Reuters）数据属于专有内容且无法重新分发，因此未纳入本仓库。取而代之的是，我们提供了源自路透变量的合成替代数据，并附带提取筛选规则与数据处理流程的说明文档。