Abstract

http://ssrn.com/abstract=2049284
 
 

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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 and SFI

Jose-Luis Peydro


Universitat Pompeu Fabra - Faculty of Economic and Business Sciences; Barcelona Graduate School of Economics (Barcelona GSE); Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI); Centre for Economic Policy Research (CEPR)

Jesus Saurina Salas


Bank of Spain

August 7, 2015

European Banking Center Discussion Paper No. 2012-011

Abstract:     
To study the impact of macroprudential policy on credit supply cycles and real effects, we analyze dynamic provisioning, which implies pro-cyclical bank capital regulation. Introduced in Spain in 2000, revised four times and tested in its counter-cyclicality during the crisis, it affected banks differentially. Accessing an exhaustive credit register, we find that dynamic provisioning smooths credit supply cycles and, in bad times, supports firm performance. A policy-induced one-percentage point (pp) increase in capital buffers extends credit to firms by 9 pp, increasing firm employment (6 pp) and survival (1 pp). Moreover, there are important compositional effects in credit supply related to risk and regulatory arbitrage by non-regulated and regulated-but-less-affected banks.

Number of Pages in PDF File: 44

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

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


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Date posted: May 1, 2012 ; Last revised: August 8, 2015

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 (August 7, 2015). 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 and SFI ( 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
Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI) ( email )
Ramon Trias Fargas, 25-27
Barcelona, 08005
Spain
Centre for Economic Policy Research (CEPR) ( email )
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
Jesus Saurina Salas
Bank of Spain ( email )
Madrid 28014
Spain
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