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Testing the characteristics of macroprudential policies’ differential impact on foreign and domestic banks’ lending in Croatia
Mario Bambulović* 
Miljana Valdec*
Miljana Valdec
Affiliation: European Central Bank, Frankfurt am Main, Germany
 0000-0003-2292-8435
Article | Year: 2020 | Pages: 221 - 249 | Volume: 44 | Issue: 2 Received: June 1, 2019 | Accepted: December 10, 2019 | Published online: June 1, 2020
|
FULL ARTICLE
FIGURES & DATA
REFERENCES
CROSSMARK POLICY
METRICS
LICENCING
PDF
Note: Macroprudential measures are grouped into the instrument categories following definitions in Budnik and Kleibl (2018a). Source: Authors’ calculation based on CNB.
Note: More details about policy action definitions in Budnik and Kleibl (2018a). Source: Authors’ calculation based on CNB and ECB (MaPPED).
|
Sample/Statistics:
|
Liquid Asset
|
TCR
|
Market Share
|
Substitutes
|
NPLR
|
Coverage
|
Net NPLR
|
RIIR on Liabilities
|
LT Liabilities
|
ROA
|
|
Domestic
|
mean
|
31,1
|
19,3
|
0,7
|
0,9
|
18,1
|
49,5
|
9,4
|
1,8
|
31,5
|
0,0
|
|
p25
|
23,7
|
13,5
|
0,2
|
-2,1
|
7,9
|
35,7
|
3,6
|
0,6
|
17,5
|
0,0
|
|
median
|
29,1
|
16,6
|
0,4
|
0,9
|
14,6
|
46,7
|
7,9
|
1,9
|
29,8
|
0,5
|
|
p75
|
35,7
|
23,7
|
0,6
|
4,7
|
24,3
|
62,2
|
13,0
|
3,1
|
45,4
|
1,2
|
|
Foreign
|
mean
|
33,0
|
21,9
|
5,6
|
7,3
|
11,8
|
59,0
|
5,2
|
1,6
|
36,1
|
0,8
|
|
p25
|
24,5
|
14,9
|
0,3
|
-1,3
|
6,0
|
45,1
|
1,8
|
0,2
|
25,2
|
0,3
|
|
median
|
31,1
|
17,6
|
1,0
|
1,4
|
10,4
|
58,9
|
4,0
|
1,3
|
36,4
|
1,1
|
|
p75
|
38,9
|
22,3
|
8,2
|
5,2
|
15,8
|
72,0
|
7,1
|
2,5
|
45,2
|
1,8
|
|
Total
|
mean
|
32,1
|
20,8
|
3,4
|
4,5
|
14,6
|
54,8
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7,1
|
1,7
|
34,0
|
0,4
|
|
p25
|
24,0
|
14,2
|
0,3
|
-1,7
|
6,6
|
39,7
|
2,3
|
0,4
|
20,4
|
0,1
|
|
median
|
30,1
|
17,1
|
0,5
|
1,2
|
11,8
|
54,0
|
5,3
|
1,6
|
34,5
|
0,8
|
|
p75
|
37,4
|
22,8
|
3,3
|
4,9
|
19,5
|
67,7
|
9,5
|
2,8
|
45,3
|
1,6
|
 Note: The size of the sample, i.e. the number of bank-event combinations used to estimate the CAAGR is marked in the figure. Source: Authors’ calculations based on CNB data.
|
|
Time period to event (1 period equals 10
days)
|
|
|
-6
|
-5
|
-4
|
-3
|
-2
|
-1
|
0
|
1
|
2
|
3
|
4
|
5
|
6
|
|
|
Policy tightening
|
|
All banks
|
0,01
|
-0,01
|
0,04
|
0.80**
|
0.80**
|
0.70*
|
1.70**
|
0.94**
|
0.85*
|
0,74
|
0,37
|
0,45
|
0,31
|
|
(0.96)
|
(0.97)
|
(0.85)
|
(0.02)
|
(0.02)
|
(0.06)
|
(0.01)
|
(0.04)
|
(0.06)
|
(0.14)
|
(0.47)
|
(0.39)
|
(0.62)
|
|
Domestic
|
0,01
|
-0,01
|
-0,20
|
0,66
|
0.92*
|
0,60
|
0,86
|
0,75
|
0,45
|
0,46
|
-0,01
|
0,06
|
0,01
|
|
(0.97)
|
(0.97)
|
(0.47)
|
(0.21)
|
(0.09)
|
(0.26)
|
(0.18)
|
(0.26)
|
(0.49)
|
(0.52)
|
(0.99)
|
(0.94)
|
(0.99)
|
|
Foreign
|
0,00
|
-0,01
|
0,24
|
0.91**
|
0,70
|
0,75
|
1.24**
|
1.09*
|
1.17*
|
0,96
|
0,69
|
0,78
|
0,55
|
|
(0.98)
|
(0.99)
|
(0.49)
|
(0.03)
|
(0.13)
|
(0.13)
|
(0.03)
|
(0.07)
|
(0.06)
|
(0.16)
|
(0.34)
|
(0.31)
|
(0.5)
|
|
|
Policy loosening
|
|
All banks
|
0,07
|
-0,02
|
-0,09
|
-0,29
|
-0,30
|
0,01
|
0,10
|
0,18
|
0,29
|
0,46
|
0,41
|
0,48
|
0,66
|
|
(0.61)
|
(0.89)
|
(0.62)
|
(0.18)
|
(0.2)
|
(0.96)
|
(0.73)
|
(0.58)
|
(0.38)
|
(0.21)
|
(0.28)
|
(0.22)
|
(0.12)
|
|
Domestic
|
-0,01
|
-0,11
|
-0,21
|
-0.51*
|
-0,49
|
-0,13
|
-0,16
|
0,12
|
0,19
|
0,28
|
0,31
|
0,16
|
0,35
|
|
(0.97)
|
(0.54)
|
(0.36)
|
(0.1)
|
(0.12)
|
(0.69)
|
(0.69)
|
(0.79)
|
(0.66)
|
(0.6)
|
(0.58)
|
(0.77)
|
(0.58)
|
|
Foreign
|
0,13
|
0,05
|
0,01
|
-0,11
|
-0,14
|
0,13
|
0,31
|
0,24
|
0,36
|
0,61
|
0,50
|
0,75
|
0,93
|
|
(0.37)
|
(0.84)
|
(0.98)
|
(0.72)
|
(0.68)
|
(0.72)
|
(0.44)
|
(0.62)
|
(0.44)
|
(0.23)
|
(0.35)
|
(0.17)
|
(0.11)
|
|
|
Other and with ambiguous impact
|
|
All banks
|
-0,07
|
-0,16
|
0,34
|
0.78**
|
0.54*
|
0,41
|
0,44
|
0,09
|
0,22
|
0,16
|
0,43
|
0,83
|
0,31
|
|
(0.7)
|
(0.44)
|
(0.25)
|
(0.01)
|
(0.1)
|
(0.22)
|
(0.39)
|
(0.87)
|
(0.69)
|
(0.79)
|
(0.52)
|
(0.24)
|
(0.68)
|
|
Domestic
|
-0,33
|
-0,21
|
0,57
|
0.98*
|
0,74
|
0,54
|
0,86
|
0,57
|
1,17
|
0,89
|
1,19
|
1,94
|
1,30
|
|
(0.36)
|
(0.55)
|
(0.29)
|
(0.05)
|
(0.15)
|
(0.3)
|
(0.37)
|
(0.55)
|
(0.23)
|
(0.39)
|
(0.3)
|
(0.11)
|
(0.3)
|
|
Foreign
|
0,14
|
-0,12
|
0,15
|
0.62*
|
0,37
|
0,31
|
0,09
|
-0,31
|
-0,55
|
-0,44
|
-0,19
|
-0,07
|
-0,49
|
|
(0.45)
|
(0.62)
|
(0.63)
|
(0.1)
|
(0.37)
|
(0.48)
|
(0.86)
|
(0.6)
|
(0.39)
|
(0.5)
|
(0.81)
|
(0.93)
|
(0.59)
|
Note: P-value of two-sided cross-sectional t-test of CAAGR significance in parentheses. The null hypothesis of the test assumes that the CAAGR is equal to zero. *** p < 0.01, ** 0.01 < p < 0.05, * 0.05 < p < 0.1. Source: Authors’ calculations based on CNB data.
|
|
Sample:
Variables
|
Foreign
|
|
Model 1
|
Model 2
|
Model 3
|
Model 4
|
Model 5
|
Model 6
|
Model 7
|
|
MPP
|
MPP stance_HR
|
-1.02***
|
-1.04***
|
-1.10***
|
|
|
|
|
|
(0.15)
|
(0.17)
|
(0.15)
|
|
|
|
|
|
MPP
stance_Homea
|
|
|
|
-1.15***
|
-1.10***
|
-1.16***
|
|
|
|
|
(0.36)
|
(0.35)
|
(0.27)
|
|
|
Macro
variables
|
GDP growth
|
0,22
|
|
|
1.04***
|
|
|
|
|
(0.24)
|
|
|
(0.31)
|
|
|
|
|
Consumption
growth
|
|
-0,03
|
|
|
0.99**
|
|
|
|
(0.31)
|
|
|
(0.35)
|
|
|
|
Macro factor
|
|
|
0,17
|
|
|
1.17**
|
|
|
|
(0.35)
|
|
|
|
|
|
Bank
variables
|
Liquid asset
|
0.15*
|
0.14*
|
|
0.27**
|
0.25**
|
|
0,11
|
|
(0.08)
|
(0.08)
|
|
(0.1)
|
(0.1)
|
|
(0.11)
|
|
TCR
|
|
|
-0,14
|
|
|
0,14
|
|
|
|
(0.13)
|
|
|
(0.13)
|
|
|
Market share
|
-1.30*
|
-1.29*
|
-1.44**
|
-0,59
|
-0,68
|
-0,68
|
-1.46*
|
|
(0.66)
|
(0.68)
|
(0.65)
|
(1.06)
|
(1.05)
|
(1.36)
|
(0.73)
|
|
Substitutes
|
0.31**
|
0.30**
|
0.30**
|
0.32**
|
0.32**
|
0.39**
|
0.31**
|
|
(0.13)
|
(0.13)
|
(0.12)
|
(0.14)
|
(0.14)
|
(0.15)
|
(0.12)
|
|
NPLR
|
-0,12
|
-0,07
|
|
0,01
|
0,06
|
|
0
|
|
(0.23)
|
(0.23)
|
|
(0.23)
|
(0.23)
|
|
(0.31)
|
|
Coverage
|
0,03
|
0,03
|
|
0.15***
|
0.15***
|
|
0,03
|
|
(0.06)
|
(0.06)
|
|
(0.05)
|
(0.04)
|
|
(0.06)
|
|
Net NPLR
|
|
|
-0,13
|
|
|
-0,13
|
|
|
|
(0.47)
|
|
|
(0.49)
|
|
|
RIIR on
liabilities
|
-1.97***
|
-2.10***
|
-1.97***
|
-0,01
|
0,27
|
0,51
|
-1.28**
|
|
(0.55)
|
(0.61)
|
(0.57)
|
(0.44)
|
(0.44)
|
(0.46)
|
(0.44)
|
|
LT
liabilities
|
0.24*
|
0.23*
|
0.18**
|
0,19
|
0,21
|
0,12
|
0,23
|
|
(0.12)
|
(0.12)
|
(0.08)
|
(0.13)
|
(0.13)
|
(0.12)
|
(0.13)
|
|
ROA
|
-0,69
|
|
|
-0,21
|
|
|
-0,57
|
|
(0.5)
|
|
|
(0.52)
|
|
|
(0.5)
|
|
|
Constant
|
25.48**
|
25.82**
|
37.82***
|
-8,9
|
-9,08
|
7,58
|
29.34*
|
|
(10.44)
|
(11.5)
|
(7.43)
|
(10.19)
|
(10.09)
|
(9.21)
|
(16.29)
|
|
|
Observations
|
1,052
|
1,052
|
1,052
|
1,052
|
1,052
|
1,052
|
1,063
|
|
R-squared
|
0,35
|
0,35
|
0,35
|
0,25
|
0,25
|
0,21
|
0,38
|
|
Number of
Banks
|
17
|
17
|
17
|
17
|
17
|
17
|
17
|
|
Bank FE
|
YES
|
YES
|
YES
|
YES
|
YES
|
YES
|
YES
|
|
Year FE
|
NO
|
NO
|
NO
|
NO
|
NO
|
NO
|
YES
|
*** p < 0.01, ** 0.01 < p < 0.05, * 0.05 < p < 0.1. Source: Authors’ calculations.
|
|
Sample:
Variables
|
Foreign
|
|
Model 1
|
Model 2
|
Model 3
|
Model 4
|
Model 5
|
Model 6
|
Model 7
|
|
MPP
|
MPP stance_HR
|
-0.35***
|
-0.45***
|
-0.32**
|
|
|
|
|
|
(0.1)
|
(0.12)
|
(0.11)
|
|
|
|
|
|
MPP
stance_Homea
|
|
|
|
-0.54**
|
-0.60**
|
-0.54**
|
|
|
|
|
|
(0.23)
|
(0.25)
|
(0.2)
|
|
|
Macro variables
|
GDP growth
|
-0,37
|
|
|
-0,09
|
|
|
|
|
(0.28)
|
|
|
(0.24)
|
|
|
|
|
Consumption
growth
|
|
-0.60*
|
|
|
-0,15
|
|
|
|
|
(0.3)
|
|
|
(0.25)
|
|
|
|
Macro factor
|
|
|
-0.391
|
|
|
-0.105
|
|
|
|
|
(0.36)
|
|
|
(0.33)
|
|
|
Bank
variables
|
Liquid asset
|
0.47***
|
0.48***
|
|
0.53***
|
0.57***
|
|
0.52***
|
|
(0.15)
|
(0.16)
|
|
(0.15)
|
(0.16)
|
|
(0.15)
|
|
TCR
|
|
|
0.35**
|
|
|
0.49***
|
|
|
|
|
(0.14)
|
|
|
(0.12)
|
|
|
Market share
|
-5,26
|
-4,57
|
-9.13*
|
-4,28
|
-3,57
|
-7.98**
|
-1,67
|
|
(3.43)
|
(3.54)
|
(4.31)
|
(2.5)
|
(2.36)
|
(3.11)
|
(3.67)
|
|
Substitutes
|
0.31*
|
0.31*
|
0.33*
|
0.32*
|
0.32*
|
0.36**
|
0.37**
|
|
(0.16)
|
(0.15)
|
(0.16)
|
(0.16)
|
(0.15)
|
(0.15)
|
(0.17)
|
|
NPLR
|
-0.34***
|
-0.39***
|
|
-0.25***
|
-0.31***
|
|
-0.26***
|
|
(0.06)
|
(0.05)
|
|
(0.07)
|
(0.06)
|
|
(0.07)
|
|
Coverage
|
0,06
|
0,07
|
|
0,1
|
0.11*
|
|
0,08
|
|
(0.06)
|
(0.06)
|
|
(0.06)
|
(0.06)
|
|
(0.07)
|
|
Net NPLR
|
|
|
-0.61***
|
|
|
-0.51**
|
|
|
|
|
(0.18)
|
|
|
(0.18)
|
|
|
RIIR on
liabilities
|
-0.64*
|
-1.01***
|
-0.94***
|
0,04
|
0,02
|
-0,22
|
-0.81*
|
|
(0.33)
|
(0.3)
|
(0.29)
|
(0.47)
|
(0.49)
|
(0.36)
|
(0.42)
|
|
LT
liabilities
|
0.29*
|
0.29*
|
0,23
|
0.31*
|
0.31*
|
0,27
|
0.31**
|
|
(0.14)
|
(0.14)
|
(0.2)
|
(0.15)
|
(0.15)
|
(0.2)
|
(0.14)
|
|
ROA
|
0.52***
|
|
|
0.72***
|
|
|
0.77***
|
|
(0.16)
|
|
|
(0.23)
|
|
|
(0.21)
|
|
|
Constant
|
-3,74
|
-1,34
|
11,91
|
-16.37*
|
-17.38*
|
0,43
|
-11,34
|
|
(10.15)
|
(10.43)
|
(7.81)
|
(9)
|
(9.1)
|
(6.67)
|
(14.72)
|
|
|
Observations
|
837
|
837
|
837
|
837
|
837
|
837
|
850
|
|
R-squared
|
0,27
|
0,28
|
0,24
|
0,26
|
0,25
|
0,23
|
0,31
|
|
Number of
Banks
|
14
|
14
|
14
|
14
|
14
|
14
|
14
|
|
Bank FE
|
YES
|
YES
|
YES
|
YES
|
YES
|
YES
|
YES
|
|
Year FE
|
NO
|
NO
|
NO
|
NO
|
NO
|
NO
|
YES
|
a MPP_stance_EU represents simple average of individual EU countries’ macroprudential policy stance indexes. Note: All RHS variables are lagged one year. Robust standard errors in parentheses. *** p < 0.01, ** 0.01 < p < 0.05, * 0.05 < p < 0.1 Source: Authors’ calculations.
|
Sample:
Variables
|
Foreign
|
Domestic
|
|
Pre-crisis
|
Crisis
|
Pre-crisis
|
Crisis
|
|
MPP
|
MPP stance_HR
|
-0.948***
|
|
-0.935
|
|
-0.178
|
|
-0.302
|
|
|
0,261
|
|
0,615
|
|
0,212
|
|
0,613
|
|
|
MPP stance_Home*
|
|
-5.633**
|
|
0.330
|
|
-7.121*
|
|
0.127
|
|
|
2,056
|
|
0,354
|
|
3,728
|
|
0,59
|
|
Macro
|
GDP growth
|
0.443
|
-0.557
|
0.171
|
-0.197
|
-0.370
|
-0.0991
|
-0.576
|
-0.725***
|
|
0,918
|
1,084
|
0,224
|
0,371
|
0,835
|
0,837
|
0,462
|
0,233
|
|
Bank
variables
|
Liquid asset
|
0.393*
|
0.625***
|
0.112
|
0.0873
|
0.304
|
0.286
|
0.523**
|
0.524**
|
|
0,221
|
0,208
|
0,0991
|
0,124
|
0,274
|
0,264
|
0,196
|
0,203
|
|
Market share
|
-1.911
|
-1.402
|
-1.294
|
-1.524
|
-8.276*
|
-7.374
|
-3.180
|
-2.783
|
|
1,151
|
1,395
|
1,196
|
1,338
|
4,258
|
4,417
|
10,53
|
11,75
|
|
Substitutes
|
0.167
|
0.212
|
0.370***
|
0.380***
|
0.419*
|
0.423*
|
0.199
|
0.205
|
|
0,231
|
0,285
|
0,121
|
0,118
|
0,203
|
0,207
|
0,128
|
0,133
|
|
Net NPLR
|
-0.735
|
-0.646
|
0.0233
|
0.169
|
-0.547**
|
-0.610**
|
-0.367*
|
-0.357*
|
|
0,52
|
0,654
|
0,676
|
0,722
|
0,242
|
0,24
|
0,189
|
0,18
|
|
RIIR on liabilities
|
-2.859
|
-0.170
|
-1.503
|
-0.984
|
-0.609
|
-0.866
|
-0.236
|
-0.106
|
|
1,814
|
1,695
|
1,019
|
0,799
|
0,389
|
0,504
|
0,594
|
0,511
|
|
LT liabilities
|
0.330
|
0.256
|
-0.0702
|
-0.0399
|
0.591
|
0.617
|
0.155
|
0.158
|
|
0,222
|
0,261
|
0,214
|
0,232
|
0,436
|
0,447
|
0,102
|
0,124
|
|
ROA
|
-0.0616
|
0.286
|
0.0550
|
0.0346
|
0.458
|
0.456
|
0.710**
|
0.707**
|
|
0,808
|
0,899
|
1,438
|
1,415
|
0,323
|
0,334
|
0,254
|
0,246
|
|
Constant
|
18.47
|
2.288
|
34.40**
|
7.721
|
-3.224
|
-1.906
|
-4.585
|
-13.93
|
|
17,38
|
15,6
|
15,06
|
10,53
|
16,45
|
16,16
|
23,31
|
10,67
|
|
Observations
|
443
|
443
|
609
|
609
|
364
|
364
|
473
|
473
|
|
R-squared
|
0.214
|
0.169
|
0.065
|
0.054
|
0.140
|
0.155
|
0.179
|
0.178
|
|
Number of Banks
|
17
|
17
|
17
|
17
|
14
|
14
|
14
|
14
|
|
Bank FE
|
YES
|
YES
|
YES
|
YES
|
YES
|
YES
|
YES
|
YES
|
|
Year FE
|
NO
|
NO
|
NO
|
NO
|
NO
|
NO
|
NO
|
NO
|
Note: All RHS variables are lagged one year. Robust standard errors in parentheses. *** p < 0.01, ** 0.01 < p < 0.05, * 0.05 < p < 0.1. Source: Authors’ calculations.
Figure 1Ownership structure of the Croatian banking system DISPLAY Figure
Figure 2Real and financial cycle development (y-o-y in %) DISPLAY Figure
Figure 3Frequency of CNB macroprudential policy actions by type of instrument category, 2000-2018 DISPLAY Figure
Figure 4Frequency of policy actions by objective of the policy measure for CEE countries, 2000-2018 DISPLAY Figure
Figure 5Nominal and adjusted growth of total credit to private sector (%) DISPLAY Figure
Figure 6Macroprudential policy stance index DISPLAY Figure
Table 1Descriptive statistics of bank-specific variables DISPLAY Table
Figure 7Cumulative average abnormal growth rate of banks' loans to the domestic non-financial private sector DISPLAY Figure
Table 2Statistical significance of the cumulative average abnormal growth rate of banks' loans to the domestic non-financial private sector DISPLAY Table
Table 3Through-the-cycle impact of macroprudential measures on foreign banks' lending DISPLAY Table
Table 4Through-the-cycle impact of macroprudential measures on domestic banks' lending DISPLAY Table
Table 5Pre-crisis and crisis impact of macroprudential measures on foreign and domestic banks' lending DISPLAY Table
* The authors would like to thank two anonymous referees for their useful comments and suggestions. The views expressed in this paper are those of the authors and do not necessarily reflect the views of the Croatian Financial Services Supervisory Agency or European Central Bank.
1 In the late 1990s, the government decided to privatize banks. Consequently, the share of foreign owned banks in total assets rose from 6.7% in 1998 to around 90% in 2001 and has remained at this level ever since.
2 CEE countries include Bulgaria, Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, Slovenia and Slovakia.
3 The number of eliminated outliers amounted to 26, which represents around 1.2% of total observations in the full sample. Furthermore, eliminated outliers were scattered across both time and bank dimensions of the sample and therefore it is assessed that their elimination should not impose bias into final results.
4 The Hausman test was performed and statistical evidence for the use of fixed effects approach was found. The results are available on request from the authors.
5 We refer to the whole period from 2009Q1 to 2018Q3 as the crisis period, although not all this period can be considered as crisis. The recession in Croatia lasted until 2015 and credit activity has been showing signs of recovery since 2017 (only on transactional basis).
6 The results are available on request from the authors.
7 More details about MaPPED available in Budnik and Kleibl (  2018a and 2018b).
|
|
June, 2020
II/2020
|
