Macro- and microprudential regulations and their effects on procyclicality of solvency and liquidity risk

• Authors: Olszak Małgorzata , Kowalska Iwona
• Languages of publication: PL EN

Abstracts

EN

This paper aims to identify the effect of macroprudential policies and microprudential regulations and their interactions on the sensitivity of leverage and liquidity funding risk to the business cycle. Analysing the sample of 782 banks we find that both macroprudential and microprudential instruments have insignificant impact on the procyclicality of leverage in the non-crisis period. Macroprudential instruments decrease the procyclicality of liquidity risk during the non-crisis period and increase the procyclicality of leverage during the crisis. Restrictions on the range of activities conducted by banks reduce the procyclicality of liquidity risk during the non-crisis period. Interaction between the macroprudential instruments targeted at risk-taking by borrowers and restrictions on the range of activities taken by banks has been found to be effective in reducing the procyclicality of leverage during the crisis period.

Keywords

EN

leverage; liquidity; procyclicality; macroprudential policy; microprudential regulations

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
• Year: 2017
• Issue: 482
• Pages: 201-215

Contributors

author

Olszak Małgorzata

author

Kowalska Iwona