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Deleveraging-Potenzial im deutschen Bankensystem und Auswirkungen auf die Finanzstabilität
[Potential deleveraging in the German banking system and effects on financial stability]

Author

Listed:
  • Pelzer, Manuel
  • Barasinska, Nataliya
  • Buchholz, Manuel
  • Friedrich, Sören
  • Geiger, Sebastian
  • Hristov, Nikolay
  • Jamaldeen, Philip
  • Löffler, Axel
  • Madjarac, Marcel
  • Roth, Markus
  • Silbermann, Leonid
  • Wong, Lui-Hsian

Abstract

Nicht zuletzt nach Ausbruch der Covid-19-Pandemie stand die Stabilität des deutschen Bankensystems als integraler Bestandteil des nationalen Finanzsystems unter besonderer Beobachtung. Entscheidend für die Finanzstabilität ist die Frage, ob die Banken ausreichend gegen Stresseffekte abgesichert sind. Diese können sich ergeben, wenn beispielsweise die Wirtschaft unerwartet einbricht. Sollten Banken nicht ausreichend widerstandsfähig sein, könnte dies mit einem systemweiten Deleveraging einhergehen. Dies könnte wiederum Risiken für die Finanzstabilität bergen und negative Folgen für die Realwirtschaft mit sich bringen. In diesem Monitoring-Tool wird das Deleveraging-Potenzial mittels einer Sequenz von sechs Analyseschritten ermittelt unter Berücksichtigung mehrerer Erstrunden-Szenarien. Die Sequenz umfasst (i) die Verlustabsorptionsfähigkeit der Banken in der Ausgangslage, (ii) die wichtigsten Stresskanäle für das Bankensystem, (iii) Deleveraging als Reaktion der Banken, wenn ihre Verlustabsorptionsfähigkeit reduziert wird, (iv) Zweitrundeneffekte im Interbankenmarkt und (v) daraus resultierende Effekte auf die Kreditvergabekapazität an nichtfinanzielle Unternehmen unter Berücksichtigung von Substitutionseffekten. Um die Bedeutung makroprudenzieller Puffer aufzuzeigen, wird in den Szenarien zunächst angenommen, dass Banken ihre Puffer nutzen. Das heißt, dass Banken ein Unterschreiten der makroprudenziellen Pufferanforderungen akzeptieren und versuchen ihre Kreditvergabe aufrechtzuerhalten. Dies wird anschließend mit den Ergebnissen verglichen, wenn Banken ihre Puffer nicht nutzen. Aus diesem Vergleich kann zuletzt (vi) der realwirtschaftliche makroökonomische Effekt der Nutzung von Puffern auf die Realwirtschaft abgeschätzt werden. Die Ergebnisse des Monitoring-Tools zeigen, dass es zu einem gesamtwirtschaftlichen Trade-Off der Puffernutzung kommt: Bei einer (geringfügig) höheren Ausfallwahrscheinlichkeit und zeitweise geringerer Widerstandsfähigkeit müssen die Banken ihre Kreditvergabe weniger stark einschränken, wodurch ein zusätzlicher Einbruch des realen BIP vermieden werden kann.

Suggested Citation

  • Pelzer, Manuel & Barasinska, Nataliya & Buchholz, Manuel & Friedrich, Sören & Geiger, Sebastian & Hristov, Nikolay & Jamaldeen, Philip & Löffler, Axel & Madjarac, Marcel & Roth, Markus & Silbermann, L, 2021. "Deleveraging-Potenzial im deutschen Bankensystem und Auswirkungen auf die Finanzstabilität [Potential deleveraging in the German banking system and effects on financial stability]," Technical Papers 12/2021, Deutsche Bundesbank.
    • Handle: RePEc:zbw:bubtps:283338
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    References listed on IDEAS

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    More about this item

    Keywords

    Financial Crises; Banks; Government Policy and Regulation;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • 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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