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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
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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.
|
|
June, 2020
II/2020 |
