Higher Bank Capital Requirements and Mortgage Pricing: Evidence from the Countercyclical Capital Buffer (CCB)
Christoph Basten and
Catherine Koch ()
No 26, HIT-REFINED Working Paper Series from Institute of Economic Research, Hitotsubashi University
Abstract:
We examine how the CCB affects mortgage pricing after Switzerland was first to activate this macroprudential tool of Basel III. Observing multiple offers per request, we obtain three core findings. First, the CCB changes the composition of mortgage supply, as capital-constrained and mortgage-specialized banks raise prices relatively more. Second, risk-weighting schemes do not amplify the CCB effect. Third, CCB-subjected banks and CCB-exempt insurers both raise mortgage rates. To conclude, changes in the supply composition hint at the CCB’s success in shifting mortgages from less to more resilient banks, but stricter capital requirements do not discourage banks from risky mortgage lending.
Keywords: macroprudential policy; capital requirement; mortgage pricing (search for similar items in EconPapers)
JEL-codes: G21 E51 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac, nep-rmg and nep-ure
Date: 2015-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26) Track citations by RSS feed
Downloads: (external link)
http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/27311/1/wp026.pdf
Related works:
Working Paper: Higher bank capital requirements and mortgage pricing: evidence from the Countercyclical Capital Buffer (CCB) (2015) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:hit:remfce:26
Access Statistics for this paper
More papers in HIT-REFINED Working Paper Series from Institute of Economic Research, Hitotsubashi University Contact information at EDIRC.
Bibliographic data for series maintained by Digital Resources Section, Hitotsubashi University Library ().