Bank capital buffer and risk adjustment decisions
Building an unbalanced panel of United States (US) bank holding company (BHC) and commercial bank balance-sheet data from 1986 to 2008, we examine the relationship between short-term capital buffer and portfolio risk adjustments. Our estimations indicate that the relationship over the sample period is a positive two-way relationship. Moreover, we show that the management of such adjustments is dependent on the degree of bank capitalization. Further investigation through time-varying analysis reveals a cyclical pattern in the uncovered relationship: negative after the 1991/1992 crisis, and positive before 1991 and after 1997.
Year of publication: |
2011
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Authors: | Jokipii, Terhi ; Milne, Alistair |
Published in: |
Journal of Financial Stability. - Elsevier, ISSN 1572-3089. - Vol. 7.2011, 3, p. 165-178
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Publisher: |
Elsevier |
Subject: | Bank capital Portfolio risk Regulation |
Saved in:
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