Macroprudential policy and bank risk

被引：153

作者：

Altunbas, Yener ^{[1
]}

Binici, Mahir ^{[2
]}

Gambacorta, Leonardo ^{[3
,4
]}

机构：

[1] Univ Wales Bangor, Bangor, Gwynedd, Wales

[2] Int Monetary Fund, Washington, DC 20431 USA

[3] Bank Int Settlements BIS, Basel, Switzerland

[4] CEPR, Basel, Switzerland

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2018年 / 81卷

关键词：

Macroprudential policies; Effectiveness; Bank risk; PANEL-DATA; FINANCE;

D O I：

10.1016/j.jimonfin.2017.11.012

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2017 Elsevier Ltd. All rights reserved.

引用

页码：203 / 220

页数：18

共 53 条

[1] A Crisis of Banks as Liquidity Providers [J].