Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/154368 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
ECB Working Paper No. 1935
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
We develop an integrated Early Warning Global Vector Autoregressive (EW-GVAR) model to quantify the costs and benefits of capital-based macroprudential policy measures. Our findings illustrate that capital-based measures are transmitted both via their impact on the banking system's resilience and via indirect macro-financial feedback effects. The feedback effects relate to dampened credit and asset price growth and, depending on how banks move to higher capital ratios, can account for up to a half of the overall effectiveness of capital- based measures. Moreover, we document significant cross-country spillover effects, especially for measures implemented in larger countries. Overall, our model helps to understand how and through which channels changes in capitalization affect bank lending and the wider economy and can inform policy makers on the optimal calibration and timing of capital-based macroprudential instruments.
Schlagwörter: 
cost-benefit analysis
early-warning system
GVAR
macroprudential policy
JEL: 
G01
G21
G28
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-2183-1
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.24 MB





Publikationen in EconStor sind urheberrechtlich geschützt.