Effects of Macroprudential Policy on Systemic Risk and Bank Risk Taking

Czech Journal of Economics and Finance, Forthcoming

62 Pages Posted: 21 Aug 2017 Last revised: 3 Feb 2018

See all articles by Alin Marius Andries

Alin Marius Andries

Alexandru Ioan Cuza University of Iasi

Florentina Melnic

Alexandru Ioan Cuza University - Faculty of Economics and Business Administration

Simona Nistor

Babes-Bolyai University - Department of Finance

Date Written: August 1, 2017

Abstract

Using an international sample of 95 banks from 21 European and North American countries spanning from 2008 to 2014, this paper assesses the effectiveness of a large set of general and housing macro-prudential policies in controlling banks’ systemic importance and risk-taking incentives. Empirical findings indicate that tightening the general capital requirements, sector specific capital buffers, along with housing countercyclical capital requirements and Debt-Service-to-Income lending criteria significantly reduce banks’ contribution to systemic risk and their individual risk-taking. A similar effect has been obtained for loosening real estate loans loss provisioning. Furthermore, the nexus between macroprudential policies and banks’ risk is shaped through several channels like bank size, the share of foreign bank assets, banking sector competition and the independence of supervisory authority.

Keywords: macroprudential policy, systemic risk, bank risk taking

JEL Classification: E58, G01, G21, G28, H81

Suggested Citation

Andries, Alin Marius and Melnic, Florentina and Nistor, Simona, Effects of Macroprudential Policy on Systemic Risk and Bank Risk Taking (August 1, 2017). Czech Journal of Economics and Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3021278 or http://dx.doi.org/10.2139/ssrn.3021278

Alin Marius Andries (Contact Author)

Alexandru Ioan Cuza University of Iasi ( email )

Bvd. Carol nr. 22
Iasi, 700505
Romania

HOME PAGE: http://www.feaa.uaic.ro/faculty/marius-alin-andries/

Florentina Melnic

Alexandru Ioan Cuza University - Faculty of Economics and Business Administration ( email )

Bd. Carol I no.22
Iasi, RO-700505
Romania

Simona Nistor

Babes-Bolyai University - Department of Finance ( email )

Teodor Mihali Street, Nr. 58-60
Cluj-Napoca, 400591
Romania
+ 40 264 418652 (Phone)
+ 40 264 412570 (Fax)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
229
Abstract Views
952
rank
160,575
PlumX Metrics