The macroeconomic impact of shocks to bank capital buffers in the Euro Area

Derrick Kanngiesser, Reiner Martin, L. Maurin, Diego Moccero
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引用次数: 10

Abstract

Abstract While the global financial crisis revealed a need for macroprudential policy tools to mitigate the build-up of risk in the financial system, the impact of such policies on the banking sector and the macroeconomy remains largely uncertain. We contribute to the empirical literature that estimates the impact of shocks to bank capital buffers on bank lending and the macroeconomy by estimating a Bayesian VAR model identified with sign restrictions. We use bank-level data for large euro area listed banks to construct an aggregate bank capital buffer for the euro area, which is included as another variable in the model. We estimate three shocks affecting the euro area economy, namely a demand shock, a monetary policy shock and a shock to bank capital buffers. We find that banks curtail lending and reduce their relative exposure to riskier assets in response to a shock to the bank capital buffer. Historical shock decomposition analysis shows that shocks to bank capital buffers have contributed to impair bank lending growth and to widen bank lending spreads, hence depressing economic activity.
冲击对欧元区银行资本缓冲的宏观经济影响
虽然全球金融危机表明需要宏观审慎政策工具来减轻金融体系风险的积累,但此类政策对银行业和宏观经济的影响在很大程度上仍不确定。我们通过估计带有符号限制的贝叶斯VAR模型,对银行资本缓冲冲击对银行贷款和宏观经济的影响进行了实证研究。我们使用大型欧元区上市银行的银行级数据来构建欧元区的总银行资本缓冲,这是模型中的另一个变量。我们估计影响欧元区经济的三种冲击,即需求冲击、货币政策冲击和对银行资本缓冲的冲击。我们发现,在银行资本缓冲受到冲击的情况下,银行会缩减贷款并减少对风险资产的相对敞口。历史冲击分解分析表明,对银行资本缓冲的冲击削弱了银行贷款增长,扩大了银行贷款息差,从而抑制了经济活动。
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