In the aftermath of the global financial crisis, increasing attention has been paid to the role played by financial factors in business cycle fluctuations. The crisis also led to the development of economic policies, beyond traditional microprudential regulation, that promote financial stability. Macroprudential policy is one such tool. It fosters a more resilient financial system by directly tackling systemic risk, that is the risk of a breakdown of the entire financial system with significant economic costs. Yet macroprudential policy is still in its ‘infancy’. In this article, we first emphasize the importance of financial markets for our understanding of the real economy and how they have traditionally been incorporated in macroeconomic models. Then we discuss the rationale for macroprudential regulation and present a cost-benefit framework to evaluate the merits of different macroprudential instruments; the benefits include a more resilient financial system and stable economy, and the costs involve forgone lending and lower economic activity. We conclude by summarizing some of the remaining challenges in the field.