The impact of sectoral macroprudential capital requirements on mortgage lending: evidence from the Belgian risk weight add-on

Ferrari, Stijn and Pirovano, Mara and Rovira Kaltwasser, Pablo (2017): The impact of sectoral macroprudential capital requirements on mortgage lending: evidence from the Belgian risk weight add-on.

Abstract

In December 2013 the National Bank of Belgium introduced a sectoral capital requirement aimed at strengthening the resilience of Belgian banks against adverse developments in the real estate market. This paper assesses the impact of this macroprudential measure on mortgage lending. Our results indicate that the sectoral capital requirement on average did not affect IRB banks’ mortgage rates and mortgage loan growth. However, the findings do indicate that IRB banks may have reacted heterogeneously to the introduction of the measure: capital-constrained banks with more exposures to the segment targeted by the additional requirement tended to respond stronger in terms of mortgage lending.

• Item Type: MPRA Paper
• Language: English
• Keywords: Systemic risk, macroprudential policy, bank capital requirements, real estate.
• Subjects: E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their Policies; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages; G - Financial Economics > G2 - Financial Institutions and Services > G28 - Government Policy and Regulation

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