Macroprudential policy in the euro area: does cross country and banking heterogeneity matters?

Detalhes bibliográficos
Autor(a) principal: Maria, Bruno Alexandre de Sousa Santa
Data de Publicação: 2020
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10071/21511
Resumo: The following Dissertation addresses how cross country and banking heterogeneity affects the design and implementation of a given macroprudential policy framework in the Euro Area. Panel data econometric methods to quarterly data collected from 12 Euro Area Member States, from 2015 up to 2019, from the BIS, ECB, and Eurostat databases were employed. The extracted variables are related to credit lent to the non-financial sector (households and nonfinancial firms) and their corresponding main drivers, according to the literature related to financial stability topics. It was explored the effects of bank’s capital indicators, following the criteria established from the Basel III accords, namely liquidity, leverage, credit risk, bank’s average size, interest rate charged to non-financial economic agents, real estate asset prices, monetary aggregates and business cycle on bank lending dynamics. Furthermore, robustness checks and the possible nonlinear effects of the explanatory variables described previously were also tested. The findings state that different factors influence credit dynamics on households and nonfinancial firms, reflecting that possible measures that have the main goal of controlling excessive credit growth must be well-targeted, in order to avoid general approaches. Moreover, the existence of non-linear effects on the variables statistically significant to explain credit flows was observed, showing that a future macroprudential policy framework for the Euro Area must consider cross country and banking heterogeneity among Member States.
id RCAP_e859f8ce63828cc7d36e6737b4daf13f
oai_identifier_str oai:repositorio.iscte-iul.pt:10071/21511
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Macroprudential policy in the euro area: does cross country and banking heterogeneity matters?Macroprudential policyEuro areaFinancial stabilityBasel IIIPanel dataPolítica macroprudencialZona euroEstabilidade financeiraBasileia IIIDados em painelThe following Dissertation addresses how cross country and banking heterogeneity affects the design and implementation of a given macroprudential policy framework in the Euro Area. Panel data econometric methods to quarterly data collected from 12 Euro Area Member States, from 2015 up to 2019, from the BIS, ECB, and Eurostat databases were employed. The extracted variables are related to credit lent to the non-financial sector (households and nonfinancial firms) and their corresponding main drivers, according to the literature related to financial stability topics. It was explored the effects of bank’s capital indicators, following the criteria established from the Basel III accords, namely liquidity, leverage, credit risk, bank’s average size, interest rate charged to non-financial economic agents, real estate asset prices, monetary aggregates and business cycle on bank lending dynamics. Furthermore, robustness checks and the possible nonlinear effects of the explanatory variables described previously were also tested. The findings state that different factors influence credit dynamics on households and nonfinancial firms, reflecting that possible measures that have the main goal of controlling excessive credit growth must be well-targeted, in order to avoid general approaches. Moreover, the existence of non-linear effects on the variables statistically significant to explain credit flows was observed, showing that a future macroprudential policy framework for the Euro Area must consider cross country and banking heterogeneity among Member States.A presente Dissertação aborda a forma como a heterogeneidade entre países e bancos afeta a elaboração e implementação de um determinado enquadramento de política macroprudencial na Zona Euro. Para o efeito, recorreu-se a métodos de estimação econométrica de dados em painel, usando dados trimestrais, entre 2015 e 2019, de 12 países da Zona Euro, tendo como fontes o BIS, o BCE, e o Eurostat, relacionados com o crédito concedido ao setor não financeiro (particulares e sociedades não financeiras) e os seus principais fatores explicativos, tendo em consideração a literatura existente. Averiguou-se quais os efeitos dos indicadores de capital dos bancos, de acordo com os critérios de Basileia III, de liquidez, de alavancagem, risco de crédito, dimensão media das instituições bancárias, taxa de juro aplicada aos agentes económicos não financeiros, preço dos ativos imobiliários, agregados monetários e comportamento do PIB na concessão de crédito bancário. Além disso, foram implementados testes de robustez e estudados possíveis efeitos não lineares associados às variáveis explicativas. Os resultados da presente Dissertação permitem concluir que diferentes fatores influenciam o crédito concedido às famílias e às sociedades não financeiras, pelo que possíveis medidas que têm como objetivo combater o crescimento excessivo do endividamento do setor não financeiro devem ter objetivos muito concretos, evitando abordagens genéricas. Conclui-se igualmente pela existência de efeitos não-lineares para a evolução do crédito concedido, reforçando o argumento de que um futuro cenário de políticas macroprudenciais na Zona Euro deve considerar as heterogeneidades entre Estados Membros e os seus correspondentes sistemas bancários.2021-01-25T15:21:36Z2020-12-14T00:00:00Z2020-12-142020-10info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10071/21511TID:202580490engMaria, Bruno Alexandre de Sousa Santainfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T18:00:04Zoai:repositorio.iscte-iul.pt:10071/21511Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:31:43.962151Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Macroprudential policy in the euro area: does cross country and banking heterogeneity matters?
title Macroprudential policy in the euro area: does cross country and banking heterogeneity matters?
spellingShingle Macroprudential policy in the euro area: does cross country and banking heterogeneity matters?
Maria, Bruno Alexandre de Sousa Santa
Macroprudential policy
Euro area
Financial stability
Basel III
Panel data
Política macroprudencial
Zona euro
Estabilidade financeira
Basileia III
Dados em painel
title_short Macroprudential policy in the euro area: does cross country and banking heterogeneity matters?
title_full Macroprudential policy in the euro area: does cross country and banking heterogeneity matters?
title_fullStr Macroprudential policy in the euro area: does cross country and banking heterogeneity matters?
title_full_unstemmed Macroprudential policy in the euro area: does cross country and banking heterogeneity matters?
title_sort Macroprudential policy in the euro area: does cross country and banking heterogeneity matters?
author Maria, Bruno Alexandre de Sousa Santa
author_facet Maria, Bruno Alexandre de Sousa Santa
author_role author
dc.contributor.author.fl_str_mv Maria, Bruno Alexandre de Sousa Santa
dc.subject.por.fl_str_mv Macroprudential policy
Euro area
Financial stability
Basel III
Panel data
Política macroprudencial
Zona euro
Estabilidade financeira
Basileia III
Dados em painel
topic Macroprudential policy
Euro area
Financial stability
Basel III
Panel data
Política macroprudencial
Zona euro
Estabilidade financeira
Basileia III
Dados em painel
description The following Dissertation addresses how cross country and banking heterogeneity affects the design and implementation of a given macroprudential policy framework in the Euro Area. Panel data econometric methods to quarterly data collected from 12 Euro Area Member States, from 2015 up to 2019, from the BIS, ECB, and Eurostat databases were employed. The extracted variables are related to credit lent to the non-financial sector (households and nonfinancial firms) and their corresponding main drivers, according to the literature related to financial stability topics. It was explored the effects of bank’s capital indicators, following the criteria established from the Basel III accords, namely liquidity, leverage, credit risk, bank’s average size, interest rate charged to non-financial economic agents, real estate asset prices, monetary aggregates and business cycle on bank lending dynamics. Furthermore, robustness checks and the possible nonlinear effects of the explanatory variables described previously were also tested. The findings state that different factors influence credit dynamics on households and nonfinancial firms, reflecting that possible measures that have the main goal of controlling excessive credit growth must be well-targeted, in order to avoid general approaches. Moreover, the existence of non-linear effects on the variables statistically significant to explain credit flows was observed, showing that a future macroprudential policy framework for the Euro Area must consider cross country and banking heterogeneity among Member States.
publishDate 2020
dc.date.none.fl_str_mv 2020-12-14T00:00:00Z
2020-12-14
2020-10
2021-01-25T15:21:36Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10071/21511
TID:202580490
url http://hdl.handle.net/10071/21511
identifier_str_mv TID:202580490
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799134878810243072

Registros relacionados