TY - JOUR

T1 - Macroprudential policy and bank risk

AU - Altunbas, Yener

AU - Binici, Mahir

AU - Gambacorta, Leonardo

N1 - 18 months embargo No date of acceptance from the Publisher.

PY - 2018/3/1

Y1 - 2018/3/1

N2 - 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.

AB - 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.

KW - macroprudential policies

KW - bank risk

KW - effectiveness

U2 - 10.1016/j.jimonfin.2017.11.012

DO - 10.1016/j.jimonfin.2017.11.012

M3 - Article

VL - 81

SP - 203

EP - 220

JO - Journal of International Money and Finance

JF - Journal of International Money and Finance

SN - 0261-5606

IS - March

ER -