Effects of macroprudential policies on bank lending and credit risks

April 29, 2020
Issue 2020-06

Summary

I analyse the effects of two macroprudential policy measures implemented in Switzerland: the activation of the countercyclical capital buffer (CCyB) and a cap on the loan-to-value (LTV) ratios. I use a difference-in-differences method to estimate the effects of these measures on risk indicators, such as their LTV and loan-to-income (LTI) ratios and mortgage growth rates.

I find that both the CCyB and the LTV cap led to a reduction in high LTV mortgages. The banks affected by the CCyB also reduced their mortgage growth rates. I do not find any evidence that these measures had unintended consequences on LTI risks or on non-mortgage credit growth.

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Issue:
06
Pages:
47
JEL classification:
E5, G21, G28
Keywords:
Banks, countercyclical capital buffer, financial stability, loan-to-value ratio, macroprudential policy, mortgages
Year:
2020

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Author(s)

  • Dr. Stefanie Behncke

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