Macroprudential Policy and Bank Risk

48 Pages Posted: 3 Jul 2017

See all articles by Yener Altunbas

Yener Altunbas

University of Wales, Bangor

Mahir Binici

Central Bank of Turkey

Leonardo Gambacorta

Bank for International Settlements (BIS); Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 2 versions of this paper

Date Written: June 2017

Abstract

This paper investigates the effects of macroprudential policies on bank risk through a large panel of banks operating in 61 advanced and emerging market economies. There are three main findings. First, there is evidence suggesting that macroprudential tools have a significant impact on bank risk. Second, the responses to changes in macroprudential tools differ among banks, depending on their specific balance sheet characteristics. In particular, banks that are small, weakly capitalised and with a higher share of wholesale funding react more strongly to changes in macroprudential tools. Third, controlling for bank-specific characteristics, macroprudential policies are more effective in a tightening than in an easing episode.

Keywords: Macroprudential policies, effectiveness, bank risk

JEL Classification: E43, E58, G18, G28

Suggested Citation

Altunbas, Yener and Binici, Mahir and Gambacorta, Leonardo, Macroprudential Policy and Bank Risk (June 2017). BIS Working Paper No. 646. Available at SSRN: https://ssrn.com/abstract=2990423

Yener Altunbas

University of Wales, Bangor ( email )

Bangor, Gwynedd, Wales LL57 2DG
United Kingdom

Mahir Binici

Central Bank of Turkey ( email )

Ankara, Ankara 06050
Turkey

Leonardo Gambacorta (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

Centre for Economic Policy Research (CEPR)

London
United Kingdom

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