Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/281783 
Year of Publication: 
2023
Series/Report no.: 
WiSo-HH Working Paper Series No. 79
Publisher: 
Universität Hamburg, Fakultät für Wirtschafts- und Sozialwissenschaften, WiSo-Forschungslabor, Hamburg
Abstract: 
How does macroprudential regulation affect financial stability in the presence of non-bank financial intermediaries? We estimate the contributions of traditional banks vis-'a-vis non-bank financial intermediaries to changes in systemic risk - measured as ∆CoVaR - after macroprudential policy shocks in European countries. We find that while tighter macro-prudential regulation, generally, decreases systemic risk among traditional banks, it has the opposite effect on systemic risk in the non-bank financial intermediation sector. For some types of regulations, the latter effect is even stronger than the former, indicating that macro-prudential tightening increases systemic risk in the entire financial system, through leakages between the traditional and the non-bank financial intermediation sectors.
Subjects: 
macroprudential policy
systemic risk
&#x2206
CoVaR
non-bank financial intermediation
regulatory arbitrage
Europe
JEL: 
G18
G23
G28
G21
E58
Document Type: 
Working Paper

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