マクロプルーデンシャル政策ネタをもう一丁。BOEブログに、資本規制はタイミングが重要、という表題のエントリが上がっている(H/T Economist's View、原題は「Making Macroprudential Hay When the Sun Shines」)。

Within the macroprudential realm, state contingent considerations come to the fore when setting the countercyclical capital buffer (CCyB). The CCyB forms a key part of the new framework of capital requirements for UK banks and the Financial Policy Committee (FPC) has published a high-level strategy for varying it, based on five core principles. Within that, the primary focus is to vary the CCyB – and hence banking sector resilience – to match the evolving risk of bank losses on UK exposures. At any given point, this should ensure that the banking system can withstand stress without restricting essential services, such as the supply of credit, to the real economy.
The FPC’s strategy also acknowledges that – while not the primary objective – changing the CCyB may in itself affect credit growth. Clearly, any direct impact on lending influences the costs and benefits of making macroprudential hay at any given time. It is therefore important for policymakers to know whether the scale of the lending response to a change in capital requirements is likely to vary according to the prevailing financial climate. We seek to shed light on this question in our paper What determines how banks respond to changes in capital requirements?


Our findings – to the extent that they can be translated across regimes – have implications for macroprudential policy:
◾First, they support the idea of adjusting capital requirements in a countercyclical fashion. The red line in Chart 3 highlights that having to raise capital requirements when credit is already relatively scarce is likely to be particularly costly, in terms of real economy lending. Leaving it until a financial downpour before scrambling to put aside hay for a rainy day means that you have left it too late.
◾Second, in the face of policy lags and inherent uncertainty about the future state of the financial cycle, it is perhaps advisable to adjust the CCyB in a fairly opportunistic fashion. If conditions are sufficiently strong that the lending impact is likely to be relatively benign, then it may be worth raising the CCyB because the costs are low. That is consistent with the FPC’s intention to set the CCyB above zero before the level of risk becomes elevated.
Overall, despite our best efforts to improve our machinery and forecasting prowess in both the agricultural and financial sectors, we would still do well to heed John Heywood’s words of 1546:
Whan the sunne shinth make hay, whiche is to say,
Take time whan time comth, lest time steale away

  • 第一に、我々の結果は、反景気循環的なやり方で資本要件を調整するという考えを支持している。図3の赤線は、信用が既に稀少な状況で資本要件を引き上げねばならなくなることは、実体経済への融資という点でとりわけ高くつくことを強調している。金融が土砂降りになってから大慌てで雨の日のための干し草を選り分けることは、その作業を手遅れになるまで放っておいたことを意味する。
  • 第二に、政策のラグと金融循環の将来の状況の本質的な不確実性に鑑みると、CCyBをかなり機会主義的な方法で調整するのが望ましいかもしれない。環境が十分に良好で融資への影響が比較的軽微なものとなりそうならば、費用が安価という理由でCCyBを引き上げる価値はあるだろう。これは、リスク水準が高まる前にCCyBをゼロより高く設定するというFPCの意図とも整合的である。



Chart 3: Response of cumulative real economy lending to a 25bp capital requirement increase conditional on financial conditions(資本要件の25bpの増加が金融環境に応じて実体経済融資にもたらす反応の累積効果)

Notes: These impulses are constructed from a panel local projection using lending data (to households and private non-financial corporations) from 18 UK banks covering 1989-2007. The shock variable is a 25bp change in the bank’s capital requirements. We interact the shock with the state of the economy to calculate differentiated impulses. Blue line is aggregate credit growth 1 S.D. above and red line is aggregate credit growth 1 S.D. below the sample average. Confidence intervals presented are two Driscoll and Kraay (1998) standard errors.