Macroprudential Policy and Bank Risk
Research output: Working paper
Electronic versions
Links
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3003915##
Final published version
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
| Original language | English |
|---|---|
| Publisher | CEPR Discussion Paper |
| Pages | 1 |
| Number of pages | 47 |
| Volume | CEPR Discussion Paper No. DP12138 |
| Publication status | Published - 18 Jul 2017 |
Research outputs (1)
- Published
Macroprudential policy and bank risk
Research output: Contribution to journal › Article › peer-review