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Systemic risk buffer and residential real estate loans: The steering effect of sectoral buffer application

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  • Geiger, Sebastian

Abstract

This paper describes the effects of the sectoral application of the systemic risk buffer (SyRB) within the German banking system. The analysis compares a general capital buffer (e.g. CCyB) to the sectoral SyRB (sSyRB) in the context of addressing the risks resulting from residential real estate (RRE) loans. It finds that the sSyRB works in a targeted manner and spares other exposure types (e.g. corporate loans) from disproportionally higher capital charges. By using regression techniques, the paper also quantifies ex ante the expected relative reduction of RRE loans in the banks' portfolios. Specifically, the models find statistically significant evidence that the RRE loan share (relative to corporate loans) could decline by between 1.1 and 4.7 percentage points if the sSyRB is set to 2.00 %.

Suggested Citation

  • Geiger, Sebastian, 2022. "Systemic risk buffer and residential real estate loans: The steering effect of sectoral buffer application," Technical Papers 04/2022, Deutsche Bundesbank.
    • Handle: RePEc:zbw:bubtps:283344
    as

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    File URL: https://www.econstor.eu/bitstream/10419/283344/1/technical-paper-2022-04.pdf
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    References listed on IDEAS

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    1. Auer, Raphael & Matyunina, Alexandra & Ongena, Steven, 2022. "The countercyclical capital buffer and the composition of bank lending," Journal of Financial Intermediation, Elsevier, vol. 52(C).
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    More about this item

    Keywords

    residential real estate; loan portfolio; systemic risk buffer; macroprudential policy; Germany;
    All these keywords.

    JEL classification:

    • D22 - Microeconomics - - Production and Organizations - - - Firm Behavior: Empirical Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • 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
    • R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand

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