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Macroprudential Policy, Countercyclical Bank Capital Buffers and Credit Supply: Evidence from the Spanish Dynamic Provisioning Experiments


Gabriel Jiménez


Bank of Spain

Steven Ongena


University of Zurich - Department of Banking and Finance

Jose-Luis Peydro


Universitat Pompeu Fabra - Faculty of Economic and Business Sciences; Barcelona Graduate School of Economics (Barcelona GSE)

Jesus Saurina Salas


Bank of Spain

February 20, 2013

European Banking Center Discussion Paper No. 2012-011

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.

Number of Pages in PDF File: 60

Keywords: bank capital, dynamic provisioning, credit availability, financial crisis

JEL Classification: E51, E58, E60, G21, G28

working papers series


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Date posted: May 1, 2012 ; Last revised: February 21, 2013

Suggested Citation

Jiménez, Gabriel and Ongena, Steven and Peydro , Jose-Luis and Saurina Salas, Jesus, Macroprudential Policy, Countercyclical Bank Capital Buffers and Credit Supply: Evidence from the Spanish Dynamic Provisioning Experiments (February 20, 2013). European Banking Center Discussion Paper No. 2012-011. Available at SSRN: http://ssrn.com/abstract=2049284 or http://dx.doi.org/10.2139/ssrn.2049284

Contact Information

Gabriel Jimenez (Contact Author)
Bank of Spain ( email )
Alcala 50
Madrid 28014
Spain
Steven R. G. Ongena
University of Zurich - Department of Banking and Finance ( email )
Plattenstrasse 14
Zürich, 8032
Switzerland
Jose-Luis Peydro
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences ( email )
Ramon Trias Fargas 25-27
Barcelona, Barcelona 08005
Spain
(+34) 93 542 1756 (Phone)
(+34) 93 542 1746 (Fax)
HOME PAGE: http://https://sites.google.com/site/joseluispeydroswebpage/
Barcelona Graduate School of Economics (Barcelona GSE) ( email )
Ramon Trias Fargas, 25-27
Barcelona, Barcelona 08005
Spain
HOME PAGE: http://www.barcelonagse.eu/Faculty.php?id=432
Jesus Saurina Salas
Bank of Spain ( email )
Madrid 28014
Spain
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