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Macroprudential policy, countercyclical bank capital buffers and credit supply: Evidence from the Spanish dynamic provisioning experiments

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  • Gabriel Jiménez
  • Steven Ongena
  • José-Luis Peydró

    ()

  • Jesús Saurina

Abstract

We analyze the impact of countercyclical capital buffers held by banks on the supply of credit to firms and their subsequent performance. Spain introduced dynamic provisioning unrelated to specific bank loan losses in 2000 and modified its formula parameters in 2005 and 2008. In each case, individual banks were impacted differently. The resultant bank-specific shocks to capital buffers, coupled with comprehensive bank-, firm-, loan-, and loan application-level data, allow us to identify its impact on the supply of credit and on real activity. Our estimates show that countercyclical dynamic provisioning smooths cycles in the supply of credit and in bad times upholds firm financing and performance.

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Bibliographic Info

Paper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 1315.

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Date of creation: May 2012
Date of revision: Feb 2013
Handle: RePEc:upf:upfgen:1315

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Web page: http://www.econ.upf.edu/

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Keywords: bank capital; dynamic provisioning; credit availability; financial crisis.;

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Cited by:
  1. Ongena, S. & Peydro, J.L. & Horen, N. van, 2013. "Shocks Abroad, Pain at Home? Bank-firm Level Evidence on the International Transmission of Financial Shocks," Discussion Paper, Tilburg University, Center for Economic Research 2013-040, Tilburg University, Center for Economic Research.
  2. Aiyar, Shekhar & Calomiris , Charles W & Wieladek, Tomasz, 2012. "Does macropru leak? Evidence from a UK policy experiment," Bank of England working papers 445, Bank of England.
  3. Claessens, Stijn & Ghosh, Swati R. & Mihet, Roxana, 2013. "Macro-prudential policies to mitigate financial system vulnerabilities," Journal of International Money and Finance, Elsevier, Elsevier, vol. 39(C), pages 153-185.
  4. Fabia A. de Carvalho & Marcos R. Castro & Silvio M. A. Costa, 2013. "Traditional and Matter-of-fact Financial Frictions in a DSGE Model for Brazil: the role of macroprudential instruments and monetary policy," Working Papers Series, Central Bank of Brazil, Research Department 336, Central Bank of Brazil, Research Department.
  5. Stijn Claessens & Laura E. Kodres, 2014. "The Regulatory Responses to the Global Financial Crisis: Some Uncomfortable Questions," IMF Working Papers 14/46, International Monetary Fund.
  6. Ozlem Akin & José Garcia Montalvo & Jaume Garcia Villar & José-Luis Peydró & Josep M. Raya, 2014. "The real estate and credit bubble: Evidence from Spain," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 1430, Department of Economics and Business, Universitat Pompeu Fabra.
  7. Ozlem Akin & José G. Montalvo & Jaume García Villar & José-Luis Peydró & Josep Maria Raya, 2014. "The Real Estate and Credit Bubble: Evidence from Spain," Working Papers 772, Barcelona Graduate School of Economics.
  8. Paolo Angelini & Sergio Nicoletti-Altimari & Ignazio Visco, 2012. "Macroprudential, microprudential and monetary policies: conflicts, complementarities and trade-offs," Questioni di Economia e Finanza (Occasional Papers) 140, Bank of Italy, Economic Research and International Relations Area.

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