Systemic risk buffer and residential real estate loans: The steering effect of sectoral buffer application

Sebastian Geiger

No 04/2022, Technical Papers from Deutsche Bundesbank

Abstract: This paper describes the effects of the sectoral application of the systemic risk buffer (SyRB) within the German banking system. The analysis compares a general capital buffer (e.g. CCyB) to the sectoral SyRB (sSyRB) in the context of addressing the risks resulting from residential real estate (RRE) loans. It finds that the sSyRB works in a targeted manner and spares other exposure types (e.g. corporate loans) from disproportionally higher capital charges. By using regression techniques, the paper also quantifies ex ante the expected relative reduction of RRE loans in the banks' portfolios. Specifically, the models find statistically significant evidence that the RRE loan share (relative to corporate loans) could decline by between 1.1 and 4.7 percentage points if the sSyRB is set to 2.00 %.

Keywords: residential real estate; loan portfolio; systemic risk buffer; macroprudential policy; Germany (search for similar items in EconPapers)
JEL-codes: D22 G11 G21 G28 R21 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubtps:283344

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