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Effects of Macroprudential Policies on Bank Lending and Credit Risks

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  • Stefanie Behncke

    (Swiss National Bank)

Abstract

I analyse the effects of two macroprudential policy measures implemented in Switzerland: the activation of the countercyclical capital buffer (CCyB) and a cap on the loan-to-value (LTV) ratios. I use a difference-in-differences method to estimate the effects of these measures on risk indicators, such as their LTV and loan-to-income (LTI) ratios and mortgage growth rates. I find that both the CCyB and the LTV cap led to a reduction in high LTV mortgages. The banks affected by the CCyB also reduced their mortgage growth rates. I do not find any evidence that these measures had unintended consequences on LTI risks, other measures of mortgage lending standards, or non-mortgage credit growth.

Suggested Citation

  • Stefanie Behncke, 2023. "Effects of Macroprudential Policies on Bank Lending and Credit Risks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 63(2), pages 175-199, April.
    • Handle: RePEc:kap:jfsres:v:63:y:2023:i:2:d:10.1007_s10693-022-00378-z
    DOI: 10.1007/s10693-022-00378-z
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    Cited by:

    1. Andre Teixeira & Zoe Venter, 2022. "Macroprudential Policy and Aggregate Demand," Working Papers 2022.04, International Network for Economic Research - INFER.
    2. Auer, Raphael & Matyunina, Alexandra & Ongena, Steven, 2022. "The countercyclical capital buffer and the composition of bank lending," Journal of Financial Intermediation, Elsevier, vol. 52(C).
    3. Stefanie Behncke, 2023. "Effects of Macroprudential Policies on Bank Lending and Credit Risks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 63(2), pages 175-199, April.
    4. Henry Penikas, 2021. "Review of Bank of Russia – NES Workshop ‘Identification and Measurement of Macroprudential Policies Effects’," Russian Journal of Money and Finance, Bank of Russia, vol. 80(3), pages 94-104, September.
    5. Dursun-de Neef, H． Özlem & Schandlbauer, Alexander & Wittig, Colin, 2023. "Countercyclical capital buffers and credit supply: Evidence from the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 154(C).
    6. Mirzaei, Ali & Pasiouras, Fotios & Samet, Anis, 2021. "State ownership, macroprudential policies, and bank lending," Journal of International Money and Finance, Elsevier, vol. 117(C).
    7. Teixeira, André, 2023. "Does macroprudential policy affect wealth inequality? Evidence from synthetic controls," Journal of Financial Stability, Elsevier, vol. 67(C).

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    More about this item

    Keywords

    Banks; Countercyclical capital buffer; Financial stability; Loan-to-value ratio; Macroprudential policy; Mortgages;
    All these keywords.

    JEL classification:

    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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