Discussion Paper Details

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Title: Macroprudential policy and bank risk

Author(s): Yener Altunbas, Mahir Binici and Leonardo Gambacorta

Publication Date: July 2017

Keyword(s): bank risk, effectiveness and macroprudential policies

Programme Area(s): Financial Economics

Abstract: This paper investigates the effects of macroprudential policies on bank risk through a large panel of banks operating in 61 advanced and emerging market economies. There are three main findings. First, there is evidence suggesting that macroprudential tools have a significant impact on bank risk. Second, the responses to changes in macroprudential tools differ among banks, depending on their specific balance sheet characteristics. In particular, banks that are small, weakly capitalised and with a higher share of wholesale funding react more strongly to changes in macroprudential tools. Third, controlling for bank-specific characteristics, macroprudential policies are more effective in a tightening than in an easing episode.

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Bibliographic Reference

Altunbas, Y, Binici, M and Gambacorta, L. 2017. 'Macroprudential policy and bank risk'. London, Centre for Economic Policy Research.