Illusive compliance and elusive risk-shifting after macroprudential tightening : evidence from EU banking / Michael Koetter, Felix Noth, Fabian Wöbbeking ; editor: Halle Institute for Economic Research (IWH) - Member of the Leibniz Association
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Illusive compliance and elusive risk-shifting after macroprudential tightening
Discovery
1917219849
URN
urn:nbn:de:gbv:3:2-1125533
DOI
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Publication history
Halle (Saale), Germany : Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, February 2025
Content
1 Online-Ressource (III, 29 Seiten, 1,31 MB) : Diagramme, Illustrationen
Edition
Language
eng
Comment
Literaturverzeichnis: Seite 21-24
Abstract
We study whether and how EU banks comply with tighter macroprudential policy (MPP). Observing contractual details for more than one million securitized loans, we document an elusive risk-shifting response by EU banks in reaction to tighter loan-to-value (LTV) restrictions between 2009 and 2022. Our staggered difference-in-differences reveals that banks respond to these MPP measures at the portfolio level by issuing new loans after LTV shocks that are smaller, have shorter maturities, and show a higher collateral valuation while holding constant interest rates. Instead of contracting aggregate lending as intended by tighter MPP, banks increase the number and total volume of newly issued loans. Importantly, new loans finance especially properties in less liquid markets identified by a new European Real Estate Index (EREI), which we interpret as a novel, elusive form of risk-shifting.
Series
IWH-Diskussionspapiere ; 2025, no. 4 (February 2025) ppn:837399270