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Macroprudential measures and developments in bank funding costs

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  • Ćehajić, Aida
  • Košak, Marko

Abstract

In this paper, we study how the use of macroprudential policy instruments is associated with bank funding costs. To accomplish this, we develop several macroprudential indices based on policy objectives and include different macroeconomic and bank-level variables, while we also separately analyse the cost of debt and overall cost of funding. Our analysis relies on bank-level data in 43 European countries for the period between 2000 and 2017, and a macroprudential policy dataset based on an IMF survey. The results show the activation of macroprudential policies is chiefly related with lower bank funding costs, with this association being stronger for developed countries than emerging ones. The results also reveal positive links with certain macroprudential measures to bank cost of funding, offering further insight into the repercussions of calibrating and selecting macroprudential tools.

Suggested Citation

  • Ćehajić, Aida & Košak, Marko, 2021. "Macroprudential measures and developments in bank funding costs," International Review of Financial Analysis, Elsevier, vol. 78(C).
    • Handle: RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002647
    DOI: 10.1016/j.irfa.2021.101943
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    Keywords

    Macroprudential policy; Bank funding costs; Bank risk; Financial stability;
    All these keywords.

    JEL classification:

    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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