Transformations in
Business & Economics
- © Vilnius University, 2002-2016
- © Brno University of Technology, 2002-2016
- © University of Latvia, 2002-2016
Article
MACROPRUDENTIAL POLICY AND BANK RISK IN CENTRAL AND EASTERN EUROPE: THE ROLE OF BANK BUSINESS MODELS
Alin Marius Andries, Ioana Plescau, Ovidiu Stoica
ABSTRACT. The aim of the paper is to analyse the effects of macroprudential measures on bank risk and stability and to find out whether these effects differ depending on some bank characteristics that define their business models. Using a sample of banks from CEE countries, for the period of 2005-2011, the main results highlight that macroprudential regulation leads to higher bank risk and reveals that, as the strength of macroprudential rules increases, the bank stability and its profitability and capitalisation decrease, while the non-performing loans and the provisions for loan losses increase. The contribution of the paper is twofold: it is a micro-level study that investigates the effects of macro-regulation on bank risk at individual level, and offers a better understanding of the factors that may drive different effects of macroprudential policy .
KEYWORDS: macroprudential regulation, financial crisis, bank risk.
JEL classification: E60, G01, G21.