The Countercyclical Capital Buffer and the Composition of Bank Lending

72 Pages Posted: 7 Oct 2019

See all articles by Raphael Auer

Raphael Auer

Bank for International Settlements (BIS)

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 2019

Abstract

Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential mortgages on which extra capital requirements were uniformly imposed by the countercyclical capital buffer (CCyB) introduced in Switzerland in 2012. We find that the CCyB's introduction led to higher growth in commercial lending although this was unrelated to conditions in regional housing markets. Interest rates and fees charged to the firms concurrently increased. We rationalize these findings in a model featuring both private and firm-specific collateral.

Keywords: bank capital, credit, macroprudential policy, Spillovers, systemic risk

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

Suggested Citation

Auer, Raphael and Ongena, Steven R. G., The Countercyclical Capital Buffer and the Composition of Bank Lending (August 2019). CEPR Discussion Paper No. DP13942, Available at SSRN: https://ssrn.com/abstract=3464465

Raphael Auer (Contact Author)

Bank for International Settlements (BIS) ( email )

Steven R. G. Ongena

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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