The main goal of macroprudential policy is to reduce the systematic risk and the macroeconomic
costs of financial instabilities. After the financial crisis of 2008, the macroprudential framework
has been developed. In the paper we test the role of the banking sector’s activity in the strength
of the causal relationships between the real sector and the financial system. One of the main goals
of macroprudential framework is to reduce the credit supply and strengthen the financial system.
We examine the strength of the relationship between several macroeconomic variables, such as industrial
production, the interest rate, stock market values, the unemployment rate, and particularly the volume
of credit to the non-financial sector. The empirical analyses are performed with reference to three
economies: Poland, Germany, and the United Kingdom. Substantial diversity of sources of economic
growth as well as the size of the financial system in the case of the countries in question allows for
a better understanding of the connections between the financial sector and the real sector. Moreover,
each of them experienced the 2008 crisis in a different way.