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

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  • Mariusz Kapuściński

    (Narodowy Bank Polski)

Abstract

In this study I analyse the effects of the transition to higher actual regulatory capital ratios due to the tightening of capital regulations in Poland. In contrast to earlier studies for this economy, as a measure of capital regulations I directly use minimum regulatory capital ratios. I focus on the impact on bank lending and GDP. I apply Bayesian panel vector autoregressive models to bank-level data. I find that the tightening of capital regulations lowers bank lending and GDP for at least one out of two analysed minimum regulatory capital ratios. This implies that capital regulations are an effective prudential policy tool in Poland. I also illustrate, as the starting point for the choice of a research design, the threats of not distinguishing capital regulation shocks from capital shocks. Finally, I attempt to identify non-linearities in the effects of changes in capital regulations.

Suggested Citation

  • Mariusz Kapuściński, 2022. "The short-term effects of changes in capital regulations in Poland," NBP Working Papers 350, Narodowy Bank Polski.
    • Handle: RePEc:nbp:nbpmis:350
    as

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    References listed on IDEAS

    as
    1. Fidrmuc, Jarko & Lind, Ronja, 2020. "Macroeconomic impact of Basel III: Evidence from a meta-analysis," Journal of Banking & Finance, Elsevier, vol. 112(C).
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    6. VanHoose, David, 2007. "Theories of bank behavior under capital regulation," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3680-3697, December.
    7. Piotr Dybka & Bartosz Olesiński & Piotr Pękała & Andrzej Torój, 2017. "To SVAR or to SVEC? On the transmission of capital buffer shocks to the real economy," Bank i Kredyt, Narodowy Bank Polski, vol. 48(2), pages 119-148.
    8. Dobromił Serwa & Piotr Wdowiński, 2017. "Modeling Macro-Financial Linkages: Combined Impulse Response Functions in SVAR Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(4), pages 323-357, December.
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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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