["Journal of Applied Econometrics, EarlyView. ", "\nABSTRACT\nWe estimate the causal effects of macroprudential policies on the entire distribution of GDP growth for advanced European economies using a narrative‐identification strategy in a quantile‐regression framework. While macroprudential policy has near‐zero effects on the center of the GDP‐growth distribution, tighter policy brings benefits by reducing the variance of future growth, significantly boosting the left tail while simultaneously reducing the right. Assessing a range of channels through which these effects materialize, we find that macroprudential policy particularly operates through ‘credit‐at‐risk’: it reduces the right tail of future credit growth, dampening booms, in turn reducing the likelihood of extreme GDP‐growth outturns.\n"]