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Enough liquidity with enough capital - and vice versa?
Gersbach, Hans; Haller, Hans; Zelzner, Sebastian - 2023
We study the interplay of capital and liquidity regulation in a general equilibrium setting by focusing on future funding risks. The model consists of a banking sector with long-term illiquid investment opportunities that need to be financed by short-term debt and by issuing equity. Reliance on...
Persistent link: https://www.econbiz.de/10014366762
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A Pigovian approach to liquidity regulation
Perotti, Enrico C.; Suárez, Javier - 2011
incentives for risk creation.When banks differ in credit opportunities, a Pigovian tax on short-term funding is efficient in … credit incentives are strongest.When banks differ instead mostly in gambling incentives (due to low charter valueor …
Persistent link: https://www.econbiz.de/10011383222
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Risk sensitivity of banks, interbank markets and the effects of liquidity regulation : conference paper
Pausch, Thilo - 2013 - First draft
between credit risk and liquidity risk of banks. This interaction is found to make a risk neutral bank behave as if it were … money market destroys endogenous risk aversion and allows banks to manage credit risk and liquidity risk independently. The … separating effect of interbank money markets and recreate endogenous risk aversion of banks. …
Persistent link: https://www.econbiz.de/10010344667
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A review of the regulatory impact analysis of risk-based capital and related liquidity rules
Hogan, Thomas L. - In: Journal of risk and financial management : JRFM 14 (2021) 1/24, pp. 1-29
This paper reviews the cost-benefit analysis, or “regulatory impact analysis” (RIA), in US bank regulators’ risk-based capital (RBC) rule proposals. We review the principles of cost-benefit analysis and its application by US bank regulators. We provide a brief background on RBC rules and...
Persistent link: https://www.econbiz.de/10012417012
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Countercyclical prudential tools in an estimated DSGE model
Frache, Serafin; Garcia-Cicco, Javier; Ponce, Jorge - 2017
Persistent link: https://www.econbiz.de/10011703610
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Countercyclical prudential tools in an estimated DSGE model
Frache, Serafin; Garcia-Cicco, Javier; Ponce, Jorge - 2017
Persistent link: https://www.econbiz.de/10011924625
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Countercyclical prudential tools in an estimated DSGE model
Frache, Serafin; Garcia-Cicco, Javier; Ponce, Jorge - In: Latin American journal of central banking : LAJCB 4 (2023) 3, pp. 1-25
banks to build buffers, but DP seem to outperform the CCB in smoothing the cycle. We also find that the source of the shock …
Persistent link: https://www.econbiz.de/10014382973
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The ascent and descent of banks’ risk-based capital regulation
Mérő, Katalin - In: Journal of banking regulation 22 (2021) 4, pp. 308-318
Persistent link: https://www.econbiz.de/10012666937
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Determinants of banks' liquidity : a French perspective on market and regulatory ratio interactions
Lecarpentier, Sandrine; Pouvelle, Cyril; Bandt, Olivier de - 2019
Persistent link: https://www.econbiz.de/10012242150
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Operationalising the countercyclical capital buffer : indicator selection, threshold identification and calibration options
Detken, Carsten; Weeken, Olaf; Alessi, Lucia; Bonfim, Diana - 2014
This paper presents the analysis underpinning the ESRB Recommendation on guidance on setting countercyclical buffer rates (ESRB 2014/1). The Recommendation is designed to help authorities tasked with setting the countercyclical capital buffer (CCB) to operationalise this new macroprudential...
Persistent link: https://www.econbiz.de/10011972814