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

Listed author(s):
  • Gabriel Jiménez

    (Banco de España)

  • Steven Ongena

    ()

    (CentER - Tilburg University
    CEPR)

  • José-Luis Peydró

    (Universitat Pompeu Fabra, Barcelona
    Barcelona Graduate School of Economics)

  • Jesús Saurina

    (Banco de España)

We analyze the impact of the countercyclical capital buffers held by banks on the supply of credit to firms and their subsequent performance. Countercyclical ‘dynamic’ provisioning unrelated to specific loan losses was introduced in Spain in 2000, and modified in 2005 and 2008. The resultant bank-specific shocks to capital buffers, combined with the financial crisis that shocked banks according to their available pre-crisis buffers, underpin our identification strategy. Our estimates from comprehensive bank-, firm-, loan-, and loan application-level data suggest that countercyclical capital buffers help smooth credit supply cycles and in bad times uphold firm credit availability and performance.

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Paper provided by National Bank of Belgium in its series Working Paper Research with number 231.

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Length: 67 pages
Date of creation: Oct 2012
Handle: RePEc:nbb:reswpp:201210-231
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