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In this paper, we provide empirical evidence about the response of macroprudential policy to financial risks, as well as the broader macroeconomic effects of macroprudential policy and the underlying transmission mechanism. To this end, we use structural panel vector autoregressions and a dataset covering 32 advanced and emerging economies. We find that positive credit shocks are generally met with tighter macroprudential policy. Moreover, whereas macroprudential policy shocks mostly affect residential investment and household credit, monetary policy shocks have more widespread effects on the economy. We also show that macro-financial country characteristics such as the exchange rate regime and the level of financial development affect both the policy response to credit shocks and the macroeconomic effects of macroprudential policy.