The short-term effects of changes in capital regulations in Poland

Mariusz Kapuściński

No 350, NBP Working Papers from Narodowy Bank Polski

Abstract: In this study I analyse the effects of the transition to higher actual regulatory capital ratios due to the tightening of capital regulations in Poland. In contrast to earlier studies for this economy, as a measure of capital regulations I directly use minimum regulatory capital ratios. I focus on the impact on bank lending and GDP. I apply Bayesian panel vector autoregressive models to bank-level data. I find that the tightening of capital regulations lowers bank lending and GDP for at least one out of two analysed minimum regulatory capital ratios. This implies that capital regulations are an effective prudential policy tool in Poland. I also illustrate, as the starting point for the choice of a research design, the threats of not distinguishing capital regulation shocks from capital shocks. Finally, I attempt to identify non-linearities in the effects of changes in capital regulations.

Keywords: capital regulations; bank lending; Bayesian panel vector autoregressive models; panel data; macroprudential policy (search for similar items in EconPapers)
JEL-codes: C11 C33 E51 E69 G21 (search for similar items in EconPapers)
Pages: 32
Date: 2022
New Economics Papers: this item is included in nep-ban, nep-cba, nep-fdg and nep-tra
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Journal Article: The short-term effects of changes in capital regulations in Poland (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpmis:350

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