银行与资本要求：来自反周期缓冲的证据

Banks and capitalrequirements: evidence fromcountercyclical buffers by Iñaki Aldasoro, Andreas Barth, Laura Comino Suarezand Riccardo Reale Monetary and Economic Department January 2026 JEL classification: E51, G21, G28, G32 Keywords: bank capital requirements, CDS,countercyclical capital buffers BISWorking Papers are written by members of the Monetary and EconomicDepartment of the Bank for International Settlements, and from time to time by othereconomists, and are published by the Bank. The papers are on subjects of topicalinterest and are technical in character. The views expressed in this publication arethose of the authors and do not necessarily reflect the views of the BIS or its membercentral banks. This publication is available on the BIS website (www.bis.org). Banks and capital requirements: evidence from countercyclical buffers∗ I\~naki Aldasoro, Andreas Barth, Laura Comino Suarez, and Riccardo Reale January 15, 2026 ABSTRACT When capital requirements rise, banks can raise equity or reduce risk-weighted assets, typ-ically by cutting lending. We show they also use credit default swaps (CDS). Linking EUtrade-repository CDS data to syndicated loans for November 2017 to April 2024, we docu-ment that banks significantly increase CDS hedging on loans to firms in countries that raisetheir countercyclical capital buffer (CCyB). Our identification exploits within-bank com-parisons of hedging for similar borrowers across countries with different CCyB rates.A 1percentage point increase in the CCyB reduces the uninsured share of a loan by about 53percentage points, with the strongest effects for banks most exposed to the buffer-raisingcountry. Eligible credit risk transfer via CDS thus emerges as a first-order channel throughwhich banks accommodate tighter capital requirements, potentially attenuating macropru-dential policy transmission. JEL classification: E51, G21, G28, G32 Keywords: bank capital requirements, CDS, countercyclical capital buffers ∗\mathrm{T}\mathrm{h}\mathrm{i}\mathrm{s} \mathrm{p}\mathrm{a}\mathrm{p}\mathrm{e}\mathrm{r} \mathrm{s}\mathrm{u}\mathrm{p}\mathrm{e}\mathrm{r}\mathrm{s}\mathrm{e}\mathrm{d}\mathrm{e}\mathrm{s} fi\mathrm{n}\mathrm{d}\mathrm{i}\mathrm{n}\mathrm{g}\mathrm{s} \mathrm{f}\mathrm{r}\mathrm{o}\mathrm{m} \mathrm{a} \mathrm{p}\mathrm{r}\mathrm{e}\mathrm{v}\mathrm{i}\mathrm{o}\mathrm{u}\mathrm{s} \mathrm{o}\mathrm{n}\mathrm{e} \mathrm{t}\mathrm{i}\mathrm{t}\mathrm{l}\mathrm{e}\mathrm{d} ``\mathrm{S}\mathrm{y}\mathrm{n}\mathrm{d}\mathrm{i}\mathrm{c}\mathrm{a}\mathrm{t}\mathrm{e}\mathrm{d} \mathrm{l}\mathrm{o}\mathrm{a}\mathrm{n}\mathrm{s} \mathrm{a}\mathrm{n}\mathrm{d} \mathrm{C}\mathrm{D}\mathrm{S} \mathrm{p}\mathrm{o}\mathrm{s}\mathrm{i}\mathrm{t}\mathrm{i}\mathrm{o}\mathrm{n}\mathrm{i}\mathrm{n}\mathrm{g}"".\mathrm{W}\mathrm{e} \mathrm{t}\mathrm{h}\mathrm{a}\mathrm{n}\mathrm{k} \mathrm{M}\mathrm{a}\mathrm{x} \mathrm{B}\mathrm{r}\mathrm{u}\mathrm{c}\mathrm{h}\mathrm{e}, \mathrm{S}\mathrm{t}\mathrm{i}\mathrm{j}\mathrm{n} \mathrm{C}\mathrm{l}\mathrm{a}\mathrm{e}\mathrm{s}\mathrm{s}\mathrm{e}\mathrm{n}\mathrm{s}, \mathrm{P}\mathrm{i}\mathrm{e}\mathrm{r}\mathrm{r}\mathrm{e} \mathrm{C}\mathrm{o}\mathrm{l}\mathrm{l}\mathrm{i}\mathrm{n}-\mathrm{D}\mathrm{u}\mathrm{f}\mathrm{r}\mathrm{e}\mathrm{s}\mathrm{n}\mathrm{e}, \mathrm{S}\mathrm{t}\mathrm{i}\mathrm{n}\mathrm{e} \mathrm{L}\mathrm{o}\mathrm{u}\mathrm{i}\mathrm{s}\mathrm{e} \mathrm{D}\mathrm{a}\mathrm{e}\mathrm{t}\mathrm{z}, \mathrm{M}\mathrm{a}\mathrm{r}\mathrm{c}\mathrm{o} \mathrm{D}'\mathrm{E}\mathrm{r}\mathrm{r}\mathrm{i}\mathrm{c}\mathrm{o}, \mathrm{I}\mathrm{n}\mathrm{g}\mathrm{o}\mathrm{F}\mathrm{e}\mathrm{n}\mathrm{d}\mathrm{e}\mathrm{r}, \mathrm{J}\mathrm{o}\mathrm{n} \mathrm{F}\mathrm{r}\mathrm{o}\mathrm{s}\mathrm{t}, \mathrm{B}\mathrm{l}\mathrm{a}\mathrm{i}\mathrm{s}\mathrm{e} \mathrm{G}\mathrm{a}\mathrm{d}\mathrm{a}\mathrm{n}\mathrm{e}\mathrm{c}\mathrm{z}, \mathrm{L}\mathrm{e}\mathrm{o}\mathrm{n}\mathrm{a}\mathrm{r}\mathrm{d}\mathrm{o} \mathrm{G}\mathrm{a}\mathrm{m}\mathrm{b}\mathrm{a}\mathrm{c}\mathrm{o}\mathrm{r}\mathrm{t}\mathrm{a}, \mathrm{J}\mathrm{a}\mathrm{n} \mathrm{P}\mathrm{i}\mathrm{e}\mathrm{t}\mathrm{e}\mathrm{r} \mathrm{K}\mathrm{r}\mathrm{a}\mathrm{h}\mathrm{n}\mathrm{e}\mathrm{n}, \mathrm{T}\mathrm{u}\mathrm{o}\mathrm{m}\mathrm{a}\mathrm{s} \mathrm{P}\mathrm{e}\mathrm{l}\mathrm{t}\mathrm{o}\mathrm{n}\mathrm{e}\mathrm{n}, \mathrm{W}\mathrm{o}\mathrm{l}\mathrm{f}\mathrm{W}\mathrm{a}\mathrm{g}\mathrm{n}\mathrm{e}\mathrm{r}, \mathrm{M}\mathrm{a}\mathrm{r}\mathrm{k} \mathrm{W}\mathrm{a}\mathrm{h}\mathrm{r}\mathrm{e}\mathrm{n}\mathrm{b}\mathrm{u}\mathrm{r}\mathrm{g}, \mathrm{A}\mathrm{d}\mathrm{a}\mathrm{m} \mathrm{Z}\mathrm{a}\mathrm{w}\mathrm{a}\mathrm{d}\mathrm{o}\mathrm{w}\mathrm{s}\mathrm{k}\mathrm{i}, \mathrm{X}\mathrm{i}\mathrm{n} \mathrm{Z}\mathrm{h}\mathrm{a}\mathrm{n}\mathrm{g} \mathrm{a}\mathrm{n}\mathrm{d} \mathrm{s}\mathrm{e}\mathrm{m}\mathrm{i}\mathrm{n}\mathrm{a}\mathrm{r}/\