Macroprudential policy and bank risk
Research output: Contribution to journal › Article › peer-review
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- 2018 Micro prudential
Accepted author manuscript, 814 KB, PDF document
Licence: CC BY-NC-ND Show licence
DOI
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
- macroprudential policies, bank risk, effectiveness
| Original language | English |
|---|---|
| Pages (from-to) | 203-220 |
| Journal | Journal of International Money and Finance |
| Volume | 81 |
| Issue number | March |
| Early online date | 21 Nov 2017 |
| DOIs | |
| Publication status | Published - 1 Mar 2018 |
Research outputs (1)
- Published
Macroprudential Policy and Bank Risk
Research output: Working paper
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