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The short-term effects of changes in capital regulations in Poland

Author

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  • Mariusz Kapuściński

    (Narodowy Bank Polski and Institute of Economics, Polish Academy of Sciences)

Abstract

In this study I attempt to address two questions. First, how to adequately measure capital regulations. Second, once they are adequately measured, what their effects are in Poland. As the starting point, I illustrate the threats of measuring capital regulations by actual regulatory capital ratios. Then, I analyse the effects of the transition to higher actual regulatory capital ratios due to the tightening of capital regulations. As a measure of capital regulations, I directly use minimum regulatory capital ratios. I apply Bayesian panel vector autoregressive models and local projections to bank-level data. I find that the tightening of capital regulations lowers bank lending for at least one out of two analysed minimum regulatory capital ratios. This implies that capital regulations could be an effective prudential policy tool in limiting excessive bank lending in Poland. I also attempt to identify whether the effects of changes in capital regulations depend on whether they are tightened or loosened.

Suggested Citation

  • Mariusz Kapuściński, 2024. "The short-term effects of changes in capital regulations in Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 55(3), pages 255-286.
    • Handle: RePEc:nbp:nbpbik:v:55:y:2024:i:3:p:255-286
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    capital regulations; bank lending; Bayesian panel vector autoregressive models; panel data; macroprudential policy;
    All these keywords.

    JEL classification:

    • E69 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Other
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General

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