Macroprudential Policy and Net Interest Margins in European banks
研究了1996至2019年28个欧盟国家3000家银行的数据，发现宏观审慎政策收紧会立即导致净息差下降2个基点，但利息收入和支出先升后降，效果因工具类型、资本比率和信用风险而异。
Abstract In this study, we investigate the effects of macroprudential policies on banks’ net interest margins (NIMs) using 3000 banks in 28 European Union countries from 1996 to 2019. Macroprudential tightening results in an immediate 2 basis point (bp) decrease in the NIMs, an increase in interest income (IIEA) of 7 bp, and an increase in interest expense (IEEA) of almost 10 bp. But the last two decline by 10.5 and 10.1 bp respectively 1–2 years later. The effect depends on the instrument type and varies based on the capital ratio and credit risk, but holds in high- and low-rate environments.