The countercyclical capital buffer and the composition of bank lending

66 Pages Posted: 24 Mar 2019 Last revised: 21 Sep 2021

See all articles by Raphael Auer

Raphael Auer

Swiss National Bank; Bank for International Settlements (BIS)

Alexandra Matyunina

University of Zurich; Swiss Finance Institute

Steven Ongena

University of Zurich - Department of Banking and Finance; Swiss Finance Institute; KU Leuven; Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 2 versions of this paper

Date Written: August 13, 2019

Abstract

Do targeted macroprudential measures impact non-targeted sectors too? We answer this question by investigating the compositional changes in the supply of credit by Swiss banks, exploiting their differential exposure to the activation in 2013 of the countercyclical capital buffer (CCyB) which targeted banks’ exposure to residential mortgages. We find that the additional capital requirements stemming from the activation of the CCyB causes higher growth in banks’ commercial lending. While banks lend more to all categories of firms, including larger corporate borrowers in the syndicated loan market, smaller and riskier firms are the primary beneficiaries of the new macroprudential measure. However, the interest rates and other costs of obtaining credit for these firms increase as well.

Keywords: macroprudential policy, spillovers, credit, bank capital, systemic risk, syndicated loan market

JEL Classification: E51, E58, E60, G01, G21, G28

Suggested Citation

Auer, Raphael and Matyunina, Alexandra and Ongena, Steven R. G., The countercyclical capital buffer and the composition of bank lending (August 13, 2019). Swiss Finance Institute Research Paper No. 21-66, Available at SSRN: https://ssrn.com/abstract=3345189 or http://dx.doi.org/10.2139/ssrn.3345189

Raphael Auer

Swiss National Bank ( email )

Fraumuensterstr. 8
Zurich, 8022
Switzerland

Bank for International Settlements (BIS)

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

Alexandra Matyunina

University of Zurich ( email )

Schönberggasse 1
Zurich
Switzerland

Swiss Finance Institute ( email )

c/o University of Geneva
42, Bd du Pont d'Arve
Geneva, CH-1211
Switzerland
(Fax)

Steven R. G. Ongena (Contact Author)

University of Zurich - Department of Banking and Finance ( email )

Schönberggasse 1
Zürich, 8001
Switzerland

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

KU Leuven ( email )

Oude Markt 13
Leuven, Vlaams-Brabant 3000
Belgium

Centre for Economic Policy Research (CEPR)

London
United Kingdom

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