In the ECB's Macroprudential Policy Division I worked on quantitative financial-stability analysis and the relationship between bank capital requirements and credit supply. The principal pandemic project examined whether banks close to regulatory capital constraints reduced new lending and how effective actual capital-requirement relief was in supporting credit supply. I linked granular AnaCredit loan data with supervisory bank time series, liquidity and other financial indicators. The data environment contained around 100 million loan observations, while the broader research dataset exceeded 400 GB. I worked with SQL, distributed data processing and econometric analysis in R. I am explicitly named in the acknowledgements of two ECB Working Papers, one of which was later published in the Journal of Money, Credit and Banking.
Research question
The principal research project examined the relationship between banks' distance to regulatory capital constraints and their willingness to originate new loans during the pandemic downturn. The policy question was whether simply allowing banks to use voluntary capital guidance was sufficient, or whether binding capital requirements needed to be released.
Data
I worked with granular AnaCredit loan data linked to supervisory bank time series, liquidity measures and other financial variables. The data warehouse contained roughly 100 million individual loan observations, while the broader research environment exceeded 400 GB.
Technical work
I developed SQL infrastructure, automated table updates and links between the distributed data environment and econometric code in R. The objective was not merely a one-off regression but a reproducible infrastructure supporting updates, robustness checks and alternative specifications.
Policy use
The analysis supported assessment of financial stability, bank behaviour and the effectiveness of macroprudential policy instruments. Results from the broader research programme fed into ECB Working Papers and the Financial Stability Review.