In recent years, macro prudential policy has become an increasingly active policy area. Many countries have adopted it as a tool to safeguard financial stability, in particular to deal with the credit and asset price cycles driven by global capital flows. This paper reviews the use of key macro prudential instruments and capital flow measures in 13 Asian economies and 33 economies in other regions since 2000, and constructs various macro prudential policy indices, aggregating sub-indices on key instruments. Asian economies appear to have made greater use of macro prudential tools, especially housing-related measures, than their counterparts in other regions. The effects of macro prudential policy are then assessed through an event study, cross-country macro panel regressions and bank-level micro panel regressions. The analysis suggests that macro prudential policy and capital flow measures have helped curb housing price growth, equity flows, credit growth, and bank leverage. The instruments that have been particularly effective in this regard include loan-to-value ratio caps, housing tax measures, and foreign currency-related measures.