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Systemic risk, macroprudential policy, bank capital requirements, real estate

Author

Listed:
  • Stijn Ferrari

    () (National Bank of Belgium)

  • Mara Pirovano

    () (National Bank of Belgium)

  • Pablo Rovira Kaltwasser

    () (National Bank of Belgium)

Abstract

In December 2013 the National Bank of Belgium introduced a sectoral capital requirement aimed at strengthening the resilience of Belgian banks against adverse developments in the real estate market. This paper assesses the impact of this macroprudential measure on mortgage lending spreads. Our results indicate that affected banks reacted heterogeneously to the introduction of the measure. Specifically, mortgage-specialised and capital-constrained banks increase mortgage lending spreads by a greater amount. As expected, the impact of the measure on mortgage loan pricing has been rather modest in economic terms.

Suggested Citation

  • Stijn Ferrari & Mara Pirovano & Pablo Rovira Kaltwasser, 2016. "Systemic risk, macroprudential policy, bank capital requirements, real estate," Working Paper Research 306, National Bank of Belgium.
  • Handle: RePEc:nbb:reswpp:201610-306
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    File URL: https://www.nbb.be/doc/oc/repec/reswpp/wp306en.pdf
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    More about this item

    Keywords

    Regions; productivity; labour costs; linked panel data;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • 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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