Working Paper: CEPR ID: DP15895
Authors: Stijn Claessens; Giulio Cornelli; Leonardo Gambacorta; Francesco Manaresi; Yasushi Shiina
Abstract: We analyse how macroprudential policies (MaPs), largely applied to banks and to a lesser extent borrowers, affect non-bank financial intermediation (NBFI). Using data for 24 of the jurisdictions participating in the Financial Stability Board’s monitoring exercise over the period 2002–17, we study the effects of MaP episodes on bank assets and on those NBFI activities that may involve bank-like financial stability risks (the narrow measure of NBFI). We find that a net tightening of domestic MaPs increases these NBFI activities and decreases bank assets, raising the NBFI share in total financial assets. By contrast, a net tightening of MaPs in foreign jurisdictions leads to a reduction of the NBFI share – the effect of a drop in NBFI activities and an increase in domestic banking assets. Tightening and easing MaPs have largely symmetric effects on NBFI. We find that the effect of MaPs (both domestic and foreign) is economically and statistically significant for all those NBFI economic functions that may pose risks to financial stability.
Keywords: macroprudential policy; nonbank financial intermediation; shadow banking; international spillovers
JEL Codes: G10; G21; O16; O40
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| Domestic MAPs (Y91) | Increase in NBFI activities (F65) |
| Increase in NBFI activities (F65) | Higher share of NBFI assets in total financial assets (G29) |
| Domestic MAPs (Y91) | Decrease in bank assets (G21) |
| Foreign MAPs (Y91) | Decrease in share of NBFI assets domestically (F65) |
| Tightening of MAPs (E63) | Symmetric effects on NBFI (G40) |