Steven Ongena: Macroprudential Policy, Countercyclical Bank Capital Buffers and Credit Supply: Evidence from the Spanish Dynamic Provisioning Experiments

​Tuesday
25.9.2012
at 10.30

Gabriel Jiménez (Banco de España), Steven Ongena (Tilburg, CEPR), Gabriel Jiménez and Jesús Saurina (Banco de España): Macroprudential Policy, Countercyclical Bank Capital Buffers and Credit Supply: Evidence from the Spanish Dynamic Provisioning Experiments

Abstract
We analyze the impact of the countercyclical capital buffers held by banks on the
supply of credit to firms and their subsequent performance. Countercyclical
‘dynamic’ provisioning unrelated to specific loan losses was introduced in Spain in
2000, and modified in 2005 and 2008. The resultant bank-specific shocks to capital
buffers, combined with the financial crisis that shocked banks according to their
available pre-crisis buffers, underpin our identification strategy. Our estimates from
comprehensive bank-, firm-, loan-, and loan application-level data suggest that
countercyclical capital buffers help smooth credit supply cycles and in bad times
uphold firm credit availability and performance.

JEL Codes: E51, E58, E60, G21, G28.
Key words: bank capital, dynamic provisioning, credit availability, financial crisis.


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