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Introductory statement

It is with great pleasure that I present this edition of the ECB Macroprudential Bulletin to you. The Macroprudential Bulletin provides insight into our ongoing work in the field of macroprudential policy, thereby contributing to greater transparency and fostering broader discussion on key macroprudential issues. This issue focuses on the development of the sectoral macroprudential framework, as well as the impact of countercyclical capital requirements on bank lending and the broader economy.

The first article discusses the advantages and shortcomings of the sectoral application of the countercyclical capital buffer (CCyB) for addressing sectoral systemic risks. The article explores and compares the effectiveness of the CCyB and the sectoral countercyclical capital buffer (SCCyB) in enhancing banks’ resilience and curbing credit cycles using a calibrated DSGE model for the euro area. Results show that if risks are confined to one particular credit sector, a SCCyB could prove more effective than the CCyB in strengthening bank resilience to the target sector and in mitigating sectoral credit imbalances.

The second article explores the relevance of sectoral cross-border credit provided via foreign branches or direct cross-border lending in the SSM area. The cross-border recognition of these exposures through mandatory reciprocity arrangements may prove significant in an integrated financial system to level the playing field for domestic and foreign banks. This is important because financial services provided via foreign branches or direct cross-border exposures would otherwise not be subject to a macroprudential measure taken in a host Member state. The analysis supports the introduction of mandatory reciprocity arrangements for sectoral capital buffers where exposures are material, in order to foster the effectiveness of macroprudential policies.

The third article estimates the impact of countercyclical bank capital requirements on bank lending and the economy. Due to the limited use of the CCyB, estimations are done based on target economic capital ratios, i.e. the capital ratio that a bank would like to hold considering its own characteristics and macroeconomic conditions. The assumption is that changes in target ratios have similar effects as changes in the CCyB. Results show that a sudden decline in economic capital buffers, such as one arising from an increase in the target capital ratio, leads to a modest decline in output and prices and to a larger decline in bank lending growth, suggesting that countercyclical capital-based macroprudential policy measures can be useful to dampen the financial cycle.

Finally, transparency about our ongoing work is not an end in itself. It is also an opportunity for an exchange of views. I would therefore like to invite you to share your views with us by sending an email with your feedback to The same address can also be used if you want to receive notifications of future issues of the Macroprudential Bulletin.

Luis de Guindos
Vice-President of the European Central Bank