Macroprudential capital requirements in the European Union during the COVID-19 crisis

• Authors: Marcin Czaplicki

Title variants

PL

Makroostrożnościowe bufory kapitałowe banków w Unii Europejskiej w trakcie kryzysu pandemicznego

Abstracts

PL

Artykuł poświęcony jest polityce makroostrożnościowej w gospodarkach Unii Europejskiej w okresie pandemii Covid-19, od końca 2019 roku do połowy 2021. Głównym celem analizy było porównanie zmian restrykcyjności wymogów makroostrożnościowych (buforów kapitałowych) z wykorzystaniem różnych miar restrykcyjności (wymóg kapitałowy, nadwyżkowy bufor kapitałowy, potencjał do ekspansji kredytowej). Stosując metody ilościowej i jakościowej analizy danych zidentyfikowano główne przyczyny zmian restrykcyjności polityki makroostrożnościowej, wykazując że jej ograniczenie wynikało w większej mierze z dążenia do odbudowy pozycji kapitałowej banków niż z obniżenia wymogu regulacyjnego. Analiza pokazała ponadto, że spośród badanych państw wymogi kapitałowe dla banków w Polsce w trakcie pandemii zostały poluzowane najbardziej.

EN

The article tackles the issue of macroprudential policy in the European Union during the Covid-19 pandemic, from the end of 2019 to mid-2021. The main purpose of the analysis was to compare changes in the restrictiveness of macroprudential requirements (capital buffers) using various restrictiveness measures (capital requirement, excess capital buffer, bank lending capacity). Using quantitative and qualitative data analysis, the main reasons for changes in the restrictiveness of macroprudential policy have been identified. It has been shown that the reduction of the regulatory stringency resulted to a bigger extent from improved capital position of banks than from a lower capital requirement. The analysis has also indicated that among the EU countries, capital requirements for banks in Poland were loosened the most during the pandemic.

Keywords

EN

European Union; macroprudential policy; COVID-19 pandemic; capital requirements; restrictiveness

PL

Unia Europejska; pandemia COVID-19; polityka makroostrożnościowa; wymogi kapitałowe; restrykcyjność

• Publisher: Bankowy Fundusz Gwarancyjny
• Journal: Bezpieczny Bank
• Year: 2021
• Volume: 85
• Issue: 4
• Pages: 7-35

Dates

published

2021

Contributors

author

Marcin Czaplicki

• Szkoła Główna Handlowa w Warszawie, Instytut Ryzyka i Rynków Finansowych

• https://orcid.org/0000000232550985

References

• Aiyar S., Calomiris C.W., Wielądek T. [2014], Does Macro‐Prudential Regulation Leak? Evidence from a UK Policy Experiment, Journal of Money, Credit and Banking 46 (1), s. 181-214
• Akinci O., Olmstead-Rumsey J. [2018], How effective are macroprudential policies? An empirical investigation, Jiurnal of Financial Intermediation 33, s. 33-57
• Altavilla C., Boucinha M., Holton S., Ongena S. [2018], Credit supply and demand in unconventional times, ECB Working Paper No. 2202
• Arregui N., Benes J., Krznar I., Mitra S., Santos A. [2013], Evaluating the Net Benefits of Macroprudential Policy: A Cookbook, IMF Working Paper No. WP/13/167
• Avezum L., Oliveira V., Serra D. [2021], Assessment of the effectiveness of the macroprudential measures implemented in the context of the Covid-19 pandemic, SUERF Policy Brief No. 165, sierpień
• Bernanke B.S., Lown C.S. [1991], The Credit Crunch, Brookings Papers on Economic Activity 22 (2), s. 205-247
• Berrospide J.M., Edge R.M. [2010], The Effects of Bank Capital on Lending: What Do We Know, and What Does It Mean?, International Journal of Central Banking December, s. 5-54
• Blundell-Wignall A., Atkinson P. [2010], Thinking Beyond Basel III: Necessary Solutions for Capital and Liquidity, OECD Journal: Financial Market Trends 2010 (1), s. 9-33
• Borio C., Gambacorta L. [2017], Monetary policy and bank lending in a low interest rate environment: Diminishing effectiveness?, Journal of Macroeconomics 54 (B), s. 217-231
• Brunnermeier M., Koby Y. [2018], The Reversal Interest Rate, NBER Working Paper No. 25406, grudzień
• Bruno V., Shim I., Shin H.S. [2017], Comparative assessment of macroprudential policies, Journal of Financial Stability 28, s. 183-202
• Budnik K., Dimitrov I., Groß J., Jancoková M., Lampe M., Sorvillo B, Stular A. i Volk M. [2021], Policies in support of lending following the coronavirus (COVID-19) pandemic, ECB Occasional Paper No. 257, maj
• Carreras O., Davis E.P., Piggott R. [2018], Assessing macroprudential tools in OECD countries within a cointegration framework, Journal of Financial Stability 37, s. 112-130
• Casanova C., Hardy B., Onen M. [2021], Covid-19 policy measures to support bank lending, BIS Quarterly Review, wrzesień, s. 45-59
• Catalán M., Hoffmaister A.W., Harun C.A. [2017], Bank Capital and Lending: An Extended Framework and Evidence of Nonlinearity, IMF Working Paper No. WP/17/252
• Cerutti E., Claessens S., Laeven L. [2017], The use and effectiveness of macroprudential policies: New evidence, Journal of Financial Stability 28, s. 203-224
• Cizel J., Froost J., Houben A., Wierts P. [2019], Effective Macroprudential Policy: Cross‐Sector Substitution from Price and Quantity Measures, Journal of Money, Credit and Banking 51 (5), s. 1209-1235
• Claessens S., Ghosh S.R., Mihet R. [2013], Macro-prudential policies to mitigate financial system vulnerabilities, Journal of International Money and Finance 39, s. 153-185
• Crowe C., Dell’Ariccia G., Igan D., Rabanal P. [2013], How to deal with real estate booms: Lessons from country experiences, Journal of Financial Stability 9 (3), s. 300-319
• Czaplicki M. [2021], Measuring the restrictiveness of (macro)prudential policy. The case of bank capital regulation in Poland, Journal of Banking Regulation (w publikacji)
• De Jonghe O., Dewachter H., Ongena S. [2020], Bank capital (requirements) and credit supply: Evidence from pillar 2 decisions, Journal of Corporate Finance 60
• Dicanio A., Montesi G. [2021], Banks in Time of Covid-19: Loss Absorption Capacity, Lending and Market Valuation, Bancaria 2/2021, luty, s. 31-58
• Dobrzańska A. [2020], Polityka makroostrożnościowa w czasie pandemii, Bezpieczny Bank nr 4 (81), s. 136-156
• Dumičic M. [2018], Effectiveness of macroprudential policies in Central and Eastern European countries, Public Sector Economics 42 (1), s. 1-19
• Europejski Bank Centralny [2020], ECB Banking Supervision provides temporary capital and operational relief in reaction to coronavirus, https://www.bankingsupervision.europa.eu/press/pr/date/2020/html/ssm.pr200312~43351ac3ac.en.html [dostęp: 30 września 2021]
• Europejski Urząd Nadzoru Bankowego (2015) Report – 2015 EU-wide transparency exercise, https://www.eba.europa.eu/sites/default/documents/files/documents/10180/1280458/106bdfd6-8c0f-4251-ba57-7cd0d97d8174/2015%20EU-wide%20Transparency%20Exercise%20Report%20FINAL.pdf [dostęp: 30 września 2021]
• Fendoğlu S. [2017], Credit cycles and capital flows: Effectiveness of the macroprudential policy framework in emerging market economies, Journal of Banking & Finance 79, s. 110-128
• Rada Stabilności Finansowej [2021], Lessons Learnt from the COVID-19 Pandemic from a Financial Stability Perspective, FSB Interim Report, 13 lipca
• Fonseca A.R., González F., Pereira da Silva L. [2010], Cyclical effects of Bank Capital Buffers with Imperfect Credit Markets: international evidence, Banco Central do Brasil Working Paper No. 216
• Gambacorta L., Shin H.S. [2018], Why bank capital matters for monetary policy, Journal of Financial Intermediation 35 (B), s. 17-29
• Geršl A., Jašová M. [2014], Measures to tame credit growth: Are they effective?, Economc Systems 38 (1), s. 7-25
• Hancock D., Wilcox J.A. [1993], Has There Been a "Capital Crunch" in Banking? The Effects on Bank Lending of Real Estate Market Conditions and Bank Capital Shortfalls, Journal of Housing Economics 3 (1), s. 31-50
• Hardy B. [2021], Covid-19 bank dividend payout restrictions: effects and trade-offs, BIS Bulletin nr 38, 10 marca
• Heid F., Porath D., Stolz S. [2003], Does capital regulation matter for bank behaviour? Evidence for German savings banks, artykuł nieopublikowany
• Imbierowicz B., Löffler A., Vogel U. [2021], The transmission of bank capital requirements and monetary policy to bank lending in Germany, Review of International Economics 29 (1), s. 144-164
• Jiménez G., Ongena S., Peydró J.-L., Saurina J. [2017], Macroprudential Policy, Countercyclical Bank Capital Buffers, and Credit Supply: Evidence from the Spanish Dynamic Provisioning Experiments, Journal of Political Economy 125 (6), s. 2126-2177
• Kapuściński M. [2017], The Role of Bank Balance Sheets in Monetary Policy Transmission: Evidence from Poland, Eastern European Economics 55 (1), s. 50-69
• Kochaniak K. (red.) [2020], Sektor bankowy w Polsce w warunkach zwiększonych obciążeń podatkowo-składkowych i wymogów kapitałowych lat 2015-2019, Poltext, Warszawa
• Kuttner K.N., Shim I. [2016], Can non-interest rate policies stabilize housing markets? Evidence from a panel of 57 economies, Journal of Financial Stability 26, s. 31-44
• Lee J. K. [2013], The Operation of Macroprudential Policy Measures: The Case of Korea in the 2000s, BOK Working Paper No. 2013-1
• Lee M., Asuncion R.C., Kim J. [2016], Effectiveness of Macroprudential Policies in Developing Asia: An Empirical Analysis, Emerging Markets Finance and Trade 52 (4), s. 923-937
• Lim C., Columba F., Costa A., Kongsamut P., Otani A., Saiyid M., Wezel T., Wu X. [2011], Macroprudential Policy: What Instruments and How to Use them? Lessons From Country Experiences, IMF Working Paper No. WP/11/238
• Ostry J.D., Ghosh A.R., Chamon M., Qureshi M.S. [2012], Tools for managing financial-stability risks from capital inflows, Journal of International Economics 88 (2), s. 407-421
• Radek A. [2021], An Overview of Micro- and Macroprudential Policy Tools in the EU in the Times of the COVID-19 Pandemic Economic Shock, Studia Europejskie / Centrum Europejskie Uniwersytetu Warszawskiego nr 2
• Richter B., Schularick M., Shim I. [2019], The costs of macroprudential policy, Journal of International Economics 118, s. 263-282
• Riksbank [2020], Financial Stability Report, 11 listopada
• Tillmann P. [2015], Estimating the effects of macroprudential policy shocks: A Qual VAR approach, Economics Letters 135, s. 1-4
• Tovar C.E., Garcia-Escribano M., Vera Martin M. [2012], Credit Growth and the Effectiveness of Reserve Requirements and Other Macroprudential Instruments in Latin America, IMF Working Paper No. WP/12/142
• Vandenbussche J., Vogel U., Detragiache E. [2015], Macroprudential Policies and Housing Prices: A New Database and Empirical Evidence for Central, Eastern, and Southeastern Europe, Journal of Money, Credit and Banking 47 (1), s. 343-377
• Zhang Y., Tressel T. [2017], Effectiveness and channels of macroprudential policies: lessons from the Euro area, Journal of Financial Regulation and Compliance 25 (3), s. 271-306
• Zhang L., Zoli E. [2016], Leaning against the wind: Macroprudential policy in Asia, Journal of Asian Economics 42, s. 33-52

Identifiers

DOI

10.26354/bb.1.4.85.2021

Biblioteka Nauki

2054047