The Countercyclical Capital Buffer and the Composition of Bank Lending

71 Pages Posted: 14 Oct 2019

See all articles by Raphael Auer

Raphael Auer

Bank for International Settlements (BIS)

Steven Ongena

University of Zurich

Multiple version iconThere are 2 versions of this paper

Date Written: 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: macroprudential policy, spillovers, credit, bank capital, systemic risk

JEL Classification: E510, E580, E600, G010, G210, G280

Suggested Citation

Auer, Raphael and Ongena, Steven, The Countercyclical Capital Buffer and the Composition of Bank Lending (2019). CESifo Working Paper No. 7815. Available at SSRN: https://ssrn.com/abstract=3467948

Raphael Auer (Contact Author)

Bank for International Settlements (BIS) ( email )

Steven Ongena

University of Zurich

Rämistrasse 71
Zürich, CH-8006
Switzerland

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