Vpliv instrumentov makrobonitetne politike na finančno stabilnost

This doctoral dissertation represents a comprehensive treatment of the many facets of macroprudential policy. We start by delving into the notions of macroprudential policy, systemic risk and financial stability, describe the macroprudential policy transmission mechanism, systemic financial crises and contagion channels, as well as the Modigliani-Miller theorem and its violations. We proceed by illustrating a multitude of available macroprudential policy instruments, attempt to clarify whether capital controls can be considered a macroprudential policy instrument, describe the use and calibration of macroprudential policy instruments, and elaborate on the changes to the EU macroprudential policy framework after the enactment of the Capital Requirements Regulation II and Capital Requirements Directive V. Next, we describe interactions between macroprudential policy and other policies, in particular microprudential, monetary, fiscal and structural policies. We attempt to answer the question of whether macroprudential policy should be entrusted to a central bank, a financial supervisory authority, or the government. Furthermore, we investigate whether countries should reciprocate each other’s macroprudential policy stance. Moreover, we review the existing research regarding the impact of macroprudential policy instruments on financial stability. We attempt to answer the question of whether the existence of a macroprudential policy framework could have prevented the Global Financial Crisis of 2007. Last but not least, we conduct our own empirical assessment of the impact of macroprudential policy instruments on financial stability in six euro area countries (Belgium, Cyprus, Germany, Spain, Ireland and Netherlands) over sixteen quarters (from 2015 Q1 (inclusive) to 2018 Q4 (inclusive)) by using the quantitative research method of panel econometrics. We tested three hypotheses: H1: Macroprudential policy instruments (common equity tier 1 ratioloans to deposits rationon-deposit funding as percentage of total fundingleverage ratiointerconnectedness ratioand coverage ratio for non-performing exposures) enhance financial stability, as measured by credit growth. H2: Macroprudential policy instruments (common equity tier 1 ratioloans to deposits rationon-deposit funding as percentage of total fundingleverage ratiointerconnectedness ratioand coverage ratio for non-performing exposures) enhance financial stability, as measured by house price growth. H3: Macroprudential policy instruments (common equity tier 1 ratioloans to deposits rationon-deposit funding as percentage of total fundingleverage ratiointerconnectedness ratioand coverage ratio for non-performing exposures) reduce cyclical fluctuations of the economy, as measured by the amplitude of the deviations of the actual economic growth rate from its long-run trend, thereby contributing to financial stability. Our empirical results suggest that, of the investigated macroprudential policy instruments, common equity tier one ratio, coverage ratio, and interconnectedness ratio exhibit the predicted impact on credit growth rate and on the deviation of the actual economic growth rate from its long-run trend. Furthermore, common equity tier one ratio, loans to deposits ratio, and leverage ratio exhibit the predicted impact on house price growth rate. The non-deposit funding ratio does not exhibit the expected impact on any of the response variables. Hence, we can only partly confirm hypotheses 1, 2 and 3. Our conclusions are in line with contemporary research on macroprudential policy. Taking into account the existing empirical research, combined with our findings as presented in this dissertation, a case can be made for the usage of carefully crafted macroprudential policy instruments which target selected financial and macroeconomic variables with the ultimate goal of attaining financial stability of the financial system as a whole.Pred finančno krizo s pričetkom leta 2007 je vsa bančna regulativa naslavljala posamezne banke navkljub dejstvu, da so centralni bančniki, akademiki in mednarodne institucije že nekaj časa opozarjale, da bi bančna regulativa morala nasloviti finančni sistem kot celoto, to se pravi, da bi morala uvesti makroprevidnostne ukrepe z namenom blaženja endogenega sistemskega tveganja (Gauthier, Lehar in Souissi, 2012). Da bi preprečili nastanek finančnih kriz v prihodnje je nujno potrebno združiti mikroprevidnostni in makroprevidnostni pristop k finančni stabilnosti. Namreč, vzroki finančnih kriz so pogosto takšni, da jih ni mogoče preprečiti ali omiliti samo z zanašanjem na mikroprevidnostne finančne instrumente ali samo z zanašanjem na makroprevidnostne finančne instrumente. Naša doktorska disertacija je prispevek k preučevanju učinkovitosti določenih instrumentov, ukrepov, pravil in orodij makrobonitetne politike, s tem pa prispeva tudi k zapiranju določenih obstoječih vrzeli v ekonomski znanstveni disciplini. V doktorski disertaciji izvedemo lastno empirično oceno vpliva instrumentov makrobonitetne politike na finančno stabilnost v šestih državah evroobmočja (Belgija, Ciper, Nemčija, Španija, Irska in Nizozemska) v časovnem obdobju šestnajstih četrtletij (od vključno prvega četrtletja 2015 do vključno četrtega četrtletja 2018) z uporabo kvantitativne raziskovalne metode panelne ekonometrije. Testiramo tri hipoteze: H1: Instrumenti makrobonitetne politike (količnik navadnega lastniškega kapitala prvega redarazmerje med posojili in depozitinedepozitno financiranje kot odstotek celotnih virov financiranjakoličnik finančnega vzvodastopnja medsebojne povezanostiin stopnja pokritosti slabih posojil z rezervacijami) pozitivno vplivajo na finančno stabilnost, merjeno s stopnjo rasti kreditov. H2: Instrumenti makrobonitetne politike (količnik navadnega lastniškega kapitala prvega redarazmerje med posojili in depozitinedepozitno financiranje kot odstotek celotnih virov financiranjakoličnik finančnega vzvodastopnja medsebojne povezanostiin stopnja pokritosti slabih posojil z rezervacijami) pozitivno vplivajo na finančno stabilnost, merjeno s stopnjo rasti cen nepremičnin. H3: Instrumenti makrobonitetne politike (količnik navadnega lastniškega kapitala prvega redarazmerje med posojili in depozitinedepozitno financiranje kot odstotek celotnih virov financiranjakoličnik finančnega vzvodastopnja medsebojne povezanostiin stopnja pokritosti slabih posojil z rezervacijami) zmanjšujejo ciklična nihanja gospodarstva, merjena z amplitudo odklona dejanske gospodarske rasti od njenega dolgoročnega trenda, ter tako prispevajo k finančni stabilnosti. Naši empirični rezultati kažejo, da od preučenih instrumentov makrobonitetne politike količnik navadnega lastniškega kapitala prvega redastopnja pokritosti slabih posojil z rezervacijami in stopnja medsebojne povezanosti izkazujejo pričakovani vpliv na stopnjo rasti posojil in na odklon dejanske gospodarske rasti od njenega dolgoročnega trenda. Nadalje izkazujejo količnik navadnega lastniškega kapitala prvega redarazmerje med posojili in depoziti ter količnik finančnega vzvoda pričakovani vpliv na stopnjo rasti cen nepremičnin. Nedepozitno financiranje kot odstotek celotnih virov financiranja ne izkazuje pričakovanega vpliva na nobeno od odvisnih spremenljivk. Ob upoštevanju teh rezultatov lahko le deloma potrdimo hipoteze 1, 2 in 3. Naši zaključki so skladni s sodobnimi raziskavami na področju makrobonitetne politike. Možne poti za prihodnje raziskave zajemajo vključitev dodatnih instrumentov makrobonitetne politike v naše modeleuporabo različnih empiričnih raziskovalnih metodter testiranje različnih časovnih obdobij in skupin držav