Gli effetti del Countercyclical Capital Buffer svizzero sull'attività creditizia ​

This study addresses the topic of the introduction of the sectoral Countercyclical Capital Buffer (CCyB) in Switzerland and its effects on bank lending. The methodology chosen for the analyses is a difference-in-differences model, combined with various types of fixed effects. The ultimate goal of the dissertation is to provide further evidence regarding the increase in corporate lending that affected Swiss banks after the activation of this new capital requirement in February 2013. The work is based on the findings presented by Auer, Matyunina and Ongena in 2022. Conversely to the original paper, the work is based on a wider dataset, that takes into account all observations related to syndicated loans in which at least a Swiss bank is participating, whereby the original only considered Swiss banks observations for the analyses. As the interpretation of the results from a global perspective showed a scarce significance, the analyses conducted on the wider sample do not allow to infer whether the activation of the CCyB led to an increase in lending to corporates. Even though some of the findings shown in the paper by Auer, Matyunina and Ongena can be found in our results, we do not observe strong evidence of any marked shift in the composition of bank lending. The main discoveries are that, generally, Swiss banks tend to lend more to corporates after the introduction of the Swiss Countercyclical Capital Buffer. In particular, smaller Swiss banks are the ones that experience this change the most. The shift in lending is mainly due to the fact that the CCyB increases capital requirements for banks that are exposed to the residential loan market: if these banks decide to lend less to households in order to reduce capital requirements, it is reasonable that they would start to lend more to corporations, in order to get an alternative source of income.