Testing the characteristics of macroprudential policies’ differential impact on foreign and domestic banks’ lending in Croatia

Bambulović, Mario; Valdec, Miljana

doi:10.3326/pse.44.2.4.

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Testing the characteristics of macroprudential policies’ differential impact on foreign and domestic banks’ lending in Croatia

Mario Bambulović*

Miljana Valdec*

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https://doi.org/10.3326/pse.44.2.4

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Table 1
Descriptive statistics of bank-specific variables

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	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

Source: Authors’ calculations based on CNB data.

Table 2
Statistical significance of the cumulative average abnormal growth rate of banks' loans to the domestic non-financial private sector

	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
All banks	(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
Domestic	(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
Foreign	(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
All banks	(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
Domestic	(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
Foreign	(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
All banks	(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
Domestic	(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
Foreign	(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.

Table 3
Through-the-cycle impact of macroprudential measures on foreign banks' lending

	Sample: Variables	Foreign
	Sample: Variables	Model 1	Model 2	Model 3	Model 4	Model 5	Model 6	Model 7
MPP	MPP stance_HR	-1.02***	-1.04***	-1.10***
	MPP stance_HR	(0.15)	(0.17)	(0.15)
	MPP stance_Home^a				-1.15***	-1.10***	-1.16***
	MPP stance_Home^a				(0.36)	(0.35)	(0.27)
Macro variables	GDP growth	0,22			1.04***
	GDP growth	(0.24)			(0.31)
	Consumption growth		-0,03			0.99**
	Consumption growth		(0.31)			(0.35)
	Macro factor			0,17			1.17**
	Macro factor			(0.35)
Bank variables	Liquid asset	0.15*	0.14*		0.27**	0.25**		0,11
	Liquid asset	(0.08)	(0.08)		(0.1)	(0.1)		(0.11)
	TCR			-0,14			0,14
	TCR			(0.13)			(0.13)
	Market share	-1.30*	-1.29*	-1.44**	-0,59	-0,68	-0,68	-1.46*
	Market share	(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**
	Substitutes	(0.13)	(0.13)	(0.12)	(0.14)	(0.14)	(0.15)	(0.12)
	NPLR	-0,12	-0,07		0,01	0,06		0
	NPLR	(0.23)	(0.23)		(0.23)	(0.23)		(0.31)
	Coverage	0,03	0,03		0.15***	0.15***		0,03
	Coverage	(0.06)	(0.06)		(0.05)	(0.04)		(0.06)
	Net NPLR			-0,13			-0,13
	Net NPLR			(0.47)			(0.49)
	RIIR on liabilities	-1.97***	-2.10***	-1.97***	-0,01	0,27	0,51	-1.28**
	RIIR on liabilities	(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
	LT liabilities	(0.12)	(0.12)	(0.08)	(0.13)	(0.13)	(0.12)	(0.13)
	ROA	-0,69			-0,21			-0,57
	ROA	(0.5)			(0.52)			(0.5)
	Constant	25.48**	25.82**	37.82***	-8,9	-9,08	7,58	29.34*
	Constant	(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

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.

Table 4
Through-the-cycle impact of macroprudential measures on domestic banks' lending

	Sample: Variables	Foreign
	Sample: Variables	Model 1	Model 2	Model 3	Model 4	Model 5	Model 6	Model 7
MPP	MPP stance_HR	-0.35***	-0.45***	-0.32**
	MPP stance_HR	(0.1)	(0.12)	(0.11)
	MPP stance_Home^a				-0.54**	-0.60**	-0.54**
	MPP stance_Home^a				(0.23)	(0.25)	(0.2)
Macro variables	GDP growth	-0,37			-0,09
	GDP growth	(0.28)			(0.24)
	Consumption growth		-0.60*			-0,15
	Consumption growth		(0.3)			(0.25)
	Macro factor			-0.391			-0.105
	Macro factor			(0.36)			(0.33)
Bank variables	Liquid asset	0.47***	0.48***		0.53***	0.57***		0.52***
	Liquid asset	(0.15)	(0.16)		(0.15)	(0.16)		(0.15)
	TCR			0.35**			0.49***
	TCR			(0.14)			(0.12)
	Market share	-5,26	-4,57	-9.13*	-4,28	-3,57	-7.98**	-1,67
	Market share	(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**
	Substitutes	(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***
	NPLR	(0.06)	(0.05)		(0.07)	(0.06)		(0.07)
	Coverage	0,06	0,07		0,1	0.11*		0,08
	Coverage	(0.06)	(0.06)		(0.06)	(0.06)		(0.07)
	Net NPLR			-0.61***			-0.51**
	Net NPLR			(0.18)			(0.18)
	RIIR on liabilities	-0.64*	-1.01***	-0.94***	0,04	0,02	-0,22	-0.81*
	RIIR on liabilities	(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**
	LT liabilities	(0.14)	(0.14)	(0.2)	(0.15)	(0.15)	(0.2)	(0.14)
	ROA	0.52***			0.72***			0.77***
	ROA	(0.16)			(0.23)			(0.21)
	Constant	-3,74	-1,34	11,91	-16.37*	-17.38*	0,43	-11,34
	Constant	(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.

Table 5
Pre-crisis and crisis impact of macroprudential measures on foreign and domestic banks' lending

	Sample: Variables	Foreign				Domestic
	Sample: Variables	Pre-crisis		Crisis		Pre-crisis		Crisis
MPP	MPP stance_HR	-0.948***		-0.935		-0.178		-0.302
	MPP stance_HR	0,261		0,615		0,212		0,613
	MPP stance_Home*		-5.633**		0.330		-7.121*		0.127
	MPP stance_Home*		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***
Macro	GDP growth	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**
	Liquid asset	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
	Market share	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
	Substitutes	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*
	Net NPLR	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
	RIIR on liabilities	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
	LT liabilities	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**
	ROA	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
	Constant	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

^a MPP_stance_Home for foreign banks represents MPP stance from particular home country, while MPP_stance_EU for domestic banks 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.

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