The transmission mechanisms of macroprudential policies on bank risk

Ely, Régis Augusto; Tabak, Benjamin Miranda; Teixeira, Anderson Mutter

doi:10.1016/j.econmod.2020.02.005

Cited by 30 publications

(8 citation statements)

References 36 publications

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“…These results have some similarities with the findings of Ely et al (2021), who argue that macroprudential regulation is substantially effective through the leverage channel in most cases in which macroprudential instruments are effective in reducing risktaking.…”

Section: Macroprudential Policies Bank Features and Systemic Stabilitysupporting

confidence: 81%

Borrower- and Lender-Based Macroprudential Policies: What Works Best Against Bank Systemic Risk?

2022

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Section: Macroprudential Policies Bank Features and Systemic Stabilitysupporting

confidence: 81%

Borrower- and Lender-Based Macroprudential Policies: What Works Best Against Bank Systemic Risk?

2022

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“…Financial stability is proxied with credit growth and/or house price growth in most papers that investigate the impact of macroprudential policy instruments on financial stability, e.g. Poghosyan, 2020;Richter, Schularick & Shim, 2019;Morgan, Regis & Salike, 2019;Kim & Oh, 2020;Nakatani, 2020;Davis, Liadze & Piggott, 2019;Olszak, Roszkowska & Kowalska, 2019;Ma, 2020;Meuleman & Vander Vennet, 2020;Cizel, Frost, Houben & Wierts, 2019;Bambulović & Valdec, 2020;Gambacorta & Murcia, 2020;and Ely, Tabak & Teixeira, 2021.…”

Section: Data and Variablesmentioning

confidence: 99%

The Impact of Macroprudential Policy Instruments on Financial Stability in Southern Europe

Lorenčič

Festić

2022

Naše Gospodarstvo/Our Economy

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This paper is a contribution to the body of research examining the impact of macroprudential policy instruments on financial stability. The following hypothesis was tested (H1): Macroprudential policy instruments (household borrowing costs; interbank loans as a percentage of total loans; loan to deposit ratio; leverage ratio; and solvency ratio) enhance financial stability, as measured by credit growth, in four southern European economies (Greece, Italy, Portugal and Spain) from Q4 2010 to Q4 2018. The empirical results of this study suggest that, of the investigated macroprudential policy instruments, household borrowing costs, interbank loans as a percentage of total loans and loan to deposit ratio exhibit the predicted impact on credit growth rate. Leverage ratio and solvency ratio do not exhibit the expected impact on the response variable. Moreover, only three out of the five explanatory variables are statistically significant in the model. Consequently, it is not possible to confirm or reject the hypothesis based on the available data and results.

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“…For monetary policy, the seasonally adjusted M1 growth rate is used. In respect of the characteristic of the CCBs, the logarithm of total assets is used to represent the scale of the CCBs, the deposit/total assets is used to represent the discipline constraint [58], the deposit/liability is used to represent the debt structure [59], the shareholder's equity/total assets is used to represent the leverage ratio [60], the ROA is used to represent the profitability [17,61], the loan-deposit ratio and provision coverage ratio are used to represent the risk control ability [62,63].…”

Section: The Influence Of Economic Fluctuation and Local Bond Risk On Ccb Risk-takingmentioning

confidence: 99%

Economic Fluctuation, Local Government Bond Risk and Risk-Taking of City Commercial Banks

Zheng

Chen

Dong³

2021

Sustainability

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Countercyclical fiscal regulation can mitigate economic risk, but this is bound to increase the scale of local government debt during an economic downturn, and then spread risk to the banking sector, forming potential financial instability factors. We extracted the three most important variables in this process: economic fluctuation, local debt risk and bank risk-taking to build an econometric model and found that: (1) both economic fluctuations and local government bond risks have a significant impact on bank risk-taking, which is negatively correlated with local economic growth, while the increase of local government bond risks tends to increase bank risk-taking in the long run; (2) the impact of local government debt risk significantly increases the loans of city commercial banks flowing into the construction industry. Therefore, the impact of local government bond risk on city commercial banks is concentrated in the impact on their construction loans. This study has an important reference value for timely and moderate countercyclical regulation, preventing local debt risk from spreading to banks, constructing a sustainable local government−bank ecology, and promoting sustainable economic development.

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The transmission mechanisms of macroprudential policies on bank risk

Cited by 30 publications

References 36 publications

Borrower- and Lender-Based Macroprudential Policies: What Works Best Against Bank Systemic Risk?

Borrower- and Lender-Based Macroprudential Policies: What Works Best Against Bank Systemic Risk?

The Impact of Macroprudential Policy Instruments on Financial Stability in Southern Europe

Economic Fluctuation, Local Government Bond Risk and Risk-Taking of City Commercial Banks

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