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Macroprudential policy and bank risk

Yener Altunbas (), Mahir Binici and Leonardo Gambacorta ()

No 12138, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper investigates the effects of macroprudential policies on bank risk through a large panel of banks operating in 61 advanced and emerging market economies. There are three main findings. First, there is evidence suggesting that macroprudential tools have a significant impact on bank risk. Second, the responses to changes in macroprudential tools differ among banks, depending on their specific balance sheet characteristics. In particular, banks that are small, weakly capitalised and with a higher share of wholesale funding react more strongly to changes in macroprudential tools. Third, controlling for bank-specific characteristics, macroprudential policies are more effective in a tightening than in an easing episode.

Keywords: bank risk; effectiveness; macroprudential policies (search for similar items in EconPapers)
JEL-codes: E43 E58 G18 G28 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-cba, nep-mac and nep-mon
Date: 2017-07
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Journal Article: Macroprudential policy and bank risk (2018) Downloads
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