ABSTRACT

In this paper, we ask about the capacity of macroprudential policies to reduce the procyclical impact of capital ratio on bank lending. We focus on aggregated macroprudential policy measures and on individual instruments and test whether their effect on the association between lending and capital depends on bank size. Applying the GMM 2-step Blundell and Bond approach to a sample covering over 60 countries, we find that macroprudential policy instruments reduce the procyclical impact of capital on bank lending during both crisis and non-crisis times. This result is stronger in large banks than in other banks. Of individual macroprudential instruments, only borrower-targeted LTV caps and DTI ratio weaken the association between lending and capital and thus act countecyclically. Generally, with our study we are able to support the view that macroprudential policy has the potential to curb the procyclical impact of bank capital on lending and therefore, the introduction of more restrictive international capital standards included in Basel III and of macroprudential policies are fully justified.

摘要

在本文中，我们询问宏观审慎政策减少资本比率对银行贷款的顺周期影响的能力。我们将重点放在宏观审慎政策措施的总体和单个工具上，并测试它们对借贷与资本之间关系的影响是否取决于银行规模。将GMM两步法布隆和邦德方法应用于覆盖60多个国家的样本中，我们发现，宏观审慎的政策工具可以减少危机和非危机时期资本对银行贷款的顺周期影响。大型银行的这一结果要强于其他银行。在个别的宏观审慎工具中，只有针对借款人的LTV上限和DTI比率削弱了借贷与资本之间的关联，因此采取周期性行动。通常，