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

Mariusz Kapuściński

Bank i Kredyt, 2024, vol. 55, issue 3, 255-286

Abstract: In this study I attempt to address two questions. First, how to adequately measure capital regulations. Second, once they are adequately measured, what their effects are in Poland. As the starting point, I illustrate the threats of measuring capital regulations by actual regulatory capital ratios. Then, I analyse the effects of the transition to higher actual regulatory capital ratios due to the tightening of capital regulations. As a measure of capital regulations, I directly use minimum regulatory capital ratios. I apply Bayesian panel vector autoregressive models and local projections to bank-level data. I find that the tightening of capital regulations lowers bank lending for at least one out of two analysed minimum regulatory capital ratios. This implies that capital regulations could be an effective prudential policy tool in limiting excessive bank lending in Poland. I also attempt to identify whether the effects of changes in capital regulations depend on whether they are tightened or loosened.

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)
Date: 2024
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Related works:
Working Paper: The short-term effects of changes in capital regulations in Poland (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpbik:v:55:y:2024:i:3:p:255-286

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