Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/283344 
Year of Publication: 
2022
Series/Report no.: 
Technical Paper No. 04/2022
Publisher: 
Deutsche Bundesbank, Frankfurt a. M.
Abstract: 
This paper describes the effects of the sectoral application of the systemic risk buffer (SyRB) within the German banking system. The analysis compares a general capital buffer (e.g. CCyB) to the sectoral SyRB (sSyRB) in the context of addressing the risks resulting from residential real estate (RRE) loans. It finds that the sSyRB works in a targeted manner and spares other exposure types (e.g. corporate loans) from disproportionally higher capital charges. By using regression techniques, the paper also quantifies ex ante the expected relative reduction of RRE loans in the banks' portfolios. Specifically, the models find statistically significant evidence that the RRE loan share (relative to corporate loans) could decline by between 1.1 and 4.7 percentage points if the sSyRB is set to 2.00 %.
Subjects: 
residential real estate
loan portfolio
systemic risk buffer
macroprudential policy
Germany
JEL: 
D22
G11
G21
G28
R21
Document Type: 
Working Paper

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