Macroprudential measures and developments in bank funding costs

Ćehajić, Aida (author), Košak, Marko (author)

In this paper, we study how the use of macroprudential policy instruments is associated with bank funding costs. To accomplish this, we develop several macroprudential indices based on policy objectives and include different macroeconomic and bank-level variables, while we also separately analyse the cost of debt and overall cost of funding. Our analysis relies on bank-level data in 43 European countries for the period between 2000 and 2017, and a macroprudential policy dataset based on an IMF survey. The results show the activation of macro-prudential policies is chiefly related with lower bank funding costs, with this association being stronger for developed countries than emerging ones. The results also reveal positive links with certain macroprudential measures to bank cost of funding, offering further insight into the repercussions of calibrating and selecting macroprudential tools.

• Language: English
• Keywords: banking, finance, stability, macroprudential policy, bank funding costs, bank risk, financial stability
• Work type: Article
• Typology: 1.01 - Original Scientific Article
• Organization: EF - School of Economics and Business
• Publication status: Published
• Publication version: Version of Record
• Year: 2021
• Number of pages: 23 str.
• Numbering: Vol. 78, art. 101943
• PID: 20.500.12556/RUL-134037
• UDC: 336.71
• ISSN on article: 1057-5219
• DOI: 10.1016/j.irfa.2021.101943
• COBISS.SI-ID: 84194563
• Publication date in RUL: 22.12.2021

Record is a part of a journal

• Title: International review of financial analysis
• Shortened title: Int. rev. financ. analy.
• Publisher: Elsevier
• ISSN: 1057-5219
• COBISS.SI-ID: 991954

Licences

• License: CC BY-NC-ND 4.0, Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
• Link: http://creativecommons.org/licenses/by-nc-nd/4.0/
• Description: The most restrictive Creative Commons license. This only allows people to download and share the work for no commercial gain and for no other purposes.

Secondary language

• Language: Slovenian
• Keywords: bančništvo, finance, stabilnost

Projects

• Funder: EC - European Commission
• Funding programme: Erasmus Mundus
• Project number: 551984-EM-1-2014-1-ES-ERA MUNDUS-EMA21
• Name: Smart and Green technologies for innovative and sustainable societies in Western Balkans
• Acronym: Green-Tech-WB

• Funder: ARRS - Slovenian Research Agency
• Project number: P5-0161
• Name: Izzivi vlagateljev, podjetij, finančnih institucij in države v negotovem evropskem gospodarskem okolju