Effects of Macroprudential Policies on Bank Lending and Credit Risks

Stefanie Behncke

Journal of Financial Services Research, 2023, vol. 63, issue 2, No 4, 175-199

Abstract: Abstract I analyse the effects of two macroprudential policy measures implemented in Switzerland: the activation of the countercyclical capital buffer (CCyB) and a cap on the loan-to-value (LTV) ratios. I use a difference-in-differences method to estimate the effects of these measures on risk indicators, such as their LTV and loan-to-income (LTI) ratios and mortgage growth rates. I find that both the CCyB and the LTV cap led to a reduction in high LTV mortgages. The banks affected by the CCyB also reduced their mortgage growth rates. I do not find any evidence that these measures had unintended consequences on LTI risks, other measures of mortgage lending standards, or non-mortgage credit growth.

Keywords: Banks; Countercyclical capital buffer; Financial stability; Loan-to-value ratio; Macroprudential policy; Mortgages (search for similar items in EconPapers)
JEL-codes: E5 G21 G28 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Working Paper: Effects of macroprudential policies on bank lending and credit risks (2020)
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DOI: 10.1007/s10693-022-00378-z

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