BIS国际清算银行-Do-macroprudential-policies-affect-non-bank-financial-intermediation_38页_3mb

Summary of BIS Working Paper No. 927: Do macroprudential policies affect non-bank financial intermediation?

Core Content

This paper investigates the impact of macroprudential policies (MaPs) on non-bank financial intermediation (NBFI), particularly in the context of financial stability. It examines both domestic and foreign MaPs and their effects on NBFI activities, which include a range of financial functions that could pose risks similar to those of banks. The analysis is based on data from 24 jurisdictions participating in the Financial Stability Board's (FSB) monitoring exercise between 2002 and 2017.

Main Findings

• Domestic MaP tightening increases the share of NBFI in total financial assets, as it leads to an increase in NBFI assets and a decrease in bank assets.
• Foreign MaP tightening reduces the share of NBFI in total financial assets, due to a decrease in NBFI activities and an increase in domestic banking assets.
• The effects of tightening and easing MaPs are largely symmetric, indicating that MaPs have a balanced impact on NBFI.
• The effect of MaPs is economically and statistically significant across all five economic functions of NBFI as defined by the FSB, including collective investment vehicles (CIVs), loan provision dependent on short-term funding, market intermediation based on short-term or secured funding, credit creation facilitation, and securitisation-based credit intermediation.
• Cross-border spillovers from MaPs are important, as they influence the size of NBFI in a jurisdiction, even when the MaPs are implemented in foreign countries.
• International coordination is necessary to manage the spillover effects of MaPs on the NBFI sector, given that these effects can impact financial stability globally.

Key Points

1. Macroprudential Policy Overview

• MaPs are applied to banks and borrowers, with a focus on credit growth, liquidity, capital requirements, and risk management.
• These policies aim to reduce the procyclicality of financial systems and enhance resilience.
• MaPs are classified into 10 categories, including capital requirements, liquidity requirements, and lending criteria.

2. Non-Bank Financial Intermediation (NBFI)

• The FSB defines NBFI as activities that may involve bank-like financial stability risks, such as maturity transformation and leverage.
• NBFI is measured through five economic functions (EFs), which include:
  • EF1: Management of collective investment vehicles (CIVs) susceptible to runs.
  • EF2: Loan provision dependent on short-term funding.
  • EF3: Market intermediation using short-term or secured funding.
  • EF4: Facilitation of credit creation.
  • EF5: Securitisation-based credit intermediation and funding.

3. Data and Methodology

• The study uses data from 24 jurisdictions, including annual NBFI asset data from the FSB monitoring exercise.
• The macroprudential policy index is constructed using a five-year rolling window of tightening and easing actions.
• The effect of foreign MaPs is measured by the share of financial claims from foreign jurisdictions to the domestic jurisdiction.
• Panel regression analysis is used to control for unobserved heterogeneity and reverse causality.

4. Empirical Results

• A one standard deviation increase in domestic MaP tightening leads to a 7% increase in the share of NBFI in total financial assets.
• A one standard deviation increase in foreign MaP tightening leads to a 12–18% decrease in the share of NBFI in total financial assets.
• The effect of MaPs is symmetric when distinguishing between tightening and easing.
• The results are robust across different weighting schemes and control variables, including financial sector size, GDP per capita, and supervisory independence.

Conclusion

The paper highlights the importance of NBFI in the global financial system and the spillover effects of MaPs across jurisdictions. It underscores the need for international coordination in macroprudential policy design to address the potential risks and inefficiencies in the NBFI sector. The findings contribute to the ongoing debate on the effectiveness and scope of macroprudential policies in managing financial stability in an increasingly interconnected global financial system.