How Effective is Macroprudential Policy during Financial Downturns? Evidence from Caps on Banks' Leverage
Manuel Buchholz
Working Papers of Eesti Pank,
No. 7,
2015
Abstract
This paper investigates the effect of a macroprudential policy instrument, caps on banks' leverage, on domestic credit to the private sector since the Global Financial Crisis. Applying a difference-in-differences approach to a panel of 69 advanced and emerging economies over 2002–2014, we show that real credit grew after the crisis at considerably higher rates in countries which had implemented the leverage cap prior to the crisis. This stabilising effect is more pronounced for countries in which banks had a higher pre-crisis capital ratio, which suggests that after the crisis, banks were able to draw on buffers built up prior to the crisis due to the regulation. The results are robust to different choices of subsamples as well as to competing explanations such as standard adjustment to the pre-crisis credit boom.
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Exit Expectations and Debt Crises in Currency Unions
Alexander Kriwoluzky, G. J. Müller, M. Wolf
IWH Discussion Papers,
No. 18,
2015
Abstract
Membership in a currency union is not irreversible. Exit expectations may emerge during sovereign debt crises, because exit allows countries to reduce their liabilities through a currency redenomination. As market participants anticipate this possibility, sovereign debt crises intensify. We establish this formally within a small open economy model of changing policy regimes. The model permits explosive dynamics of debt and sovereign yields inside currency unions and allows us to distinguish between exit expectations and those of an outright default. By estimating the model on Greek data, we quantify the contribution of exit expectations to the crisis dynamics during 2009 to 2012.
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“The German Saver” and the Low Policy Rate Environment
Reint E. Gropp, Vahid Saadi
IWH Online,
No. 9,
2015
Abstract
It is widely claimed that “the German saver” suffers (i.e. generates significantly lower returns on her savings) in the low interest environment that Germany currently experiences relative to a high interest rate environment. With “low interest rate environment”, the observers tend to mean “low policy rates”, i.e. the European Central Bank’s (ECB) main refinancing rate.
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Financial Constraints on Growth: Comparing the Balkans to Other Transition Economies
Hubert Gabrisch
Eastern European Economics,
No. 4,
2015
Abstract
This article applies an adjusted growth diagnostic approach to identify the currently most binding constraint on financing growth in the West Balkan countries. Since this group of economies faces both structural and systemic transformation problems, the original supply-side approach might not be sufficient to detect the most binding constraint. The results of the analysis indicate that the binding constraint on credit and investment growth in the region is the high and increasing share of nonperforming loans, primarily in the household sector, due to policy failures. This article compares the Balkan countries to a group of advanced transition economies. Single-country and panel regressions indicate that demand-side factors do not play a constraining role on growth in the West Balkan countries, but they do in the advanced transition economies.
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Ökonomische Wirksamkeit der konjunkturstützenden finanzpolitischen Maßnahmen der Jahre 2008 und 2009: Forschungsergebnisse des Leibniz-Instituts für Wirtschaftsforschung Halle (IWH) und Kiel Economics im Auftrag des BMF
Oliver Holtemöller, Katja Drechsel
Monatsbericht des BMF,
No. 5,
2015
Abstract
Insgesamt haben die finanzpolitischen Maßnahmen, die in Deutschland in den Jahren 2008 und 2009 inmitten der schweren Finanz- und Wirtschaftskrise zur Stabilisierung der konjunkturellen Lage ergriffen wurden, geholfen, den Einbruch der Produktion abzudämpfen. Die wichtigsten konjunkturellen Impulse kamen im Umfeld der weltweiten Finanzkrise von der Umweltprämie, der Ausweitung der öffentlichen Investitionen und dem Wirtschaftsfonds Deutschland, dem Kredit- und Bürgschaftsprogramm für Unternehmen.
Konjunkturstützend wirkten insbesondere auch automatische Stabilisatoren, d. h. der Anstieg der Sozialausgaben und der Rückgang der Steuereinnahmen, die sich ohne Eingriffe des Staates als eine Folge der konjunkturellen Entwicklung ergeben. Ohne sie wäre das Bruttoinlandsprodukt (BIP) im Jahr 2009 um rund einen halben Prozentpunkt stärker gesunken. Der maßgebliche Stabilisierungseffekt ging dabei von der progressiven Einkommensteuer aus.
Die Ausweitung der Kurzarbeit half zwar, die Beschäftigung zu stützen, trug aber praktisch nicht zur Stabilisierung von Einkommen und Produktion bei. Nahezu alle Maßnahmen entfalteten ihre Effekte erst mit zum Teil deutlicher Verzögerung. Am schnellsten wirkte die Umweltprämie. Die Wirkungen der Infrastrukturmaßnahmen, z. B. des Zukunftsinvestitionsgesetzes, reichten hingegen bis in das Jahr 2012 hinein.
Ein Patentrezept für zukünftige Rezessionen lieferten die in den Jahren 2008 und 2009 ergriffenen Maßnahmen nicht. Die automatischen Stabilisatoren und institutionellen Regeln auf dem Arbeitsmarkt, die eine flexible Reaktion auf Konjunkturschwankungen ermöglichen – wie etwa flexible Arbeitszeiten beziehungsweise Arbeitszeitkonten –, spielen eine große Rolle bei der Stabilisierung der Konjunktur.
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Assessing European Competitiveness: The New CompNet Microbased Database
Paloma Lopez-Garcia, Filippo di Mauro
ECB Working Paper,
No. 1764,
2015
Abstract
Drawing from confidential firm-level balance sheets for 17 European countries (13 Euro-Area), the paper documents the newly expanded database of cross-country comparable competitiveness-related indicators built by the Competitiveness Research Network (CompNet). The new database provides information on the distribution of labour productivity, TFP, ULC or size of firms in detailed 2-digit industries but also within broad macrosectors or considering the full economy. Most importantly, the expanded database includes detailed information on critical determinants of competitiveness such as the financial position of the firm, its exporting intensity, employment creation or price-cost margins. Both the distribution of all those variables, within each industry, but also their joint analysis with the productivity of the firm provides critical insights to both policy-makers and researchers regarding aggregate trends dynamics. The current database comprises 17 EU countries, with information for 56 industries, including both manufacturing and services, over the period 1995-2012. The paper aims at analysing the structure and characteristics of this novel database, pointing out a number of results that are relevant to study productivity developments and its drivers. For instance, by using covariances between productivity and employment the paper shows that the drop in employment which occurred during the recent crisis appears to have had “cleansing effects” on EU economies, as it seems to have accelerated resource reallocation towards the most productive firms, particularly in economies under stress. Lastly, this paper will be complemented by four forthcoming papers, each providing an in-depth description and methodological overview of each of the main groups of CompNet indicators (financial, trade-related, product and labour market).
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Cross-border Interbank Networks, Banking Risk and Contagion
Lena Tonzer
Journal of Financial Stability,
2015
Abstract
Recent events have highlighted the role of cross-border linkages between banking systems in transmitting local developments across national borders. This paper analyzes whether international linkages in interbank markets affect the stability of interconnected banking systems and channel financial distress within a network consisting of banking systems of the main advanced countries for the period 1994–2012. Methodologically, I use a spatial modeling approach to test for spillovers in cross-border interbank markets. The results suggest that foreign exposures in banking play a significant role in channeling banking risk: I find that countries that are linked through foreign borrowing or lending positions to more stable banking systems abroad are significantly affected by positive spillover effects. From a policy point of view, this implies that in stable times, linkages in the banking system can be beneficial, while they have to be taken with caution in times of financial turmoil affecting the whole system.
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