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Effects of Macroprudential Policies on Bank Lending and Credit Risks


ABSTRACT: I analyse the effects of two macroprudential policy measures implemented in Switzerland: the activation of the countercyclical capital buffer (CCyB) and a cap on the loan-to-value (LTV) ratios. I use a difference-in-differences method to estimate the effects of these measures on risk indicators, such as their LTV and loan-to-income (LTI) ratios and mortgage growth rates. I find that both the CCyB and the LTV cap led to a reduction in high LTV mortgages. The banks affected by the CCyB also reduced their mortgage growth rates. I do not find any evidence that these measures had unintended consequences on LTI risks, other measures of mortgage lending standards, or non-mortgage credit growth.

Supplementary Information

The online version contains supplementary material available at 10.1007/s10693-022-00378-z.

SUBMITTER: Behncke S 

PROVIDER: S-EPMC8943354 | biostudies-literature |

REPOSITORIES: biostudies-literature

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