Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/229054
Authors: 
Reghezza, Alessio
D'Acri, Costanza Rodriguez
Spaggiari, Martina
Cappelletti, Giuseppe
Year of Publication: 
2020
Series/Report no.: 
ECB Working Paper No. 2440
Abstract: 
We investigate the impact of macroprudential capital requirements on bank lending behaviour across economic sectors, focusing on their potentially heterogenous effects and transmission channel. By employing confidential loan-level data for the euro area over 2015-18, we find that the reaction of banks to structural capital surcharges depends on the level of the required capital buffer and the economic sector of the borrowing counterpart. Although tighter buffer requirements correspond to stronger lending contractions, targeted banks curtail their lending towards credit institutions the most, while leaving loan supply to non-financial corporations almost unchanged. We find that this lending is mitigated when banks resort to central bank funding. These results have important policy implications as they provide evidence on the impact of macroprudential policy frameworks and their interaction with unconventional monetary policies.
Subjects: 
Macroprudential Policy
Unconventional Monetary Policy
Credit Supply
Loan-level Data
Large Exposure
JEL: 
E51
E58
E60
G21
G28
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4083-2
Document Type: 
Working Paper

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