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Economic and Regulatory Capital: What is the Difference?
Elizalde, Abel; Repullo, Rafael - C.E.P.R. Discussion Papers - 2004
This Paper analyses the determinants of regulatory capital (the minimum required by regulation) and economic capital (the capital that shareholders would choose in absence of regulation) in the context of the single risk factor model that underlies the New Basel Capital Accord (Basel II). The...
Persistent link: https://www.econbiz.de/10005123827
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Robust Capital Regulation
Acharya, Viral V; Mehran, Hamid; Schuermann, Til; … - C.E.P.R. Discussion Papers - 2012
We address the following questions concerning bank capital: why are banks so highly levered, what are the consequences of this leverage for the economy as a whole, and how can robust capital regulation be designed to restrict bank leverage to levels that do not generate excessive systemic risk?...
Persistent link: https://www.econbiz.de/10011083636
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Market Discipline and Financial Safety Net Design
Demirguc-Kunt, Asli; Huizinga, Harry - C.E.P.R. Discussion Papers - 1999
An important question is whether the financial safety net reduces market discipline on bank risk taking. For countries with varying deposit insurance schemes, we find that deposit rates continue to reflect bank riskiness. Cross-country evidence suggests that explicit deposit insurance reduces...
Persistent link: https://www.econbiz.de/10005661598
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The International Lender of Last Resort: How Large is Large Enough?
Jeanne, Olivier; Wyplosz, Charles - C.E.P.R. Discussion Papers - 2001
This Paper considers how an international lender of last resort can prevent self-fulfilling banking and currency crises in emerging economies. We compare two different arrangements: one in which the international lender of last resort injects international liquidity into financial markets, and...
Persistent link: https://www.econbiz.de/10005136622
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Policies for Banking Crises: A Theoretical Framework
Repullo, Rafael - C.E.P.R. Discussion Papers - 2004
guarantees, and provision of unrestricted liquidity support. In the context of a simple model of information-based bank runs …
Persistent link: https://www.econbiz.de/10005791329
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Market-Based Bank Capital Regulation
Bulow, Jeremy I.; Klemperer, Paul - C.E.P.R. Discussion Papers - 2013
system uses market information, it does not rely on markets being “right”. …
Persistent link: https://www.econbiz.de/10011083692
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Liquidity, Risk-Taking and the Lender of Last Resort
Repullo, Rafael - C.E.P.R. Discussion Papers - 2005
resort (LLR) that bases its decision on supervisory information on the quality of the bank’s assets. The bank is subject to a …
Persistent link: https://www.econbiz.de/10005791539
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'Crony Capitalism', Bail Outs and Bank Runs
Femminis, Gianluca; Ruggerone, Luigi - C.E.P.R. Discussion Papers - 2001
We present a simple model where bank runs are possible and we analyse the role of subsidization of future investment in this setting. We find that such a policy exacerbates the short-run liquidity problem for banks. Moreover, we highlight that a ‘shift in expectations’ about the keeping of...
Persistent link: https://www.econbiz.de/10005504263
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Global crises and equity market contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - C.E.P.R. Discussion Papers - 2011
unexplained increases in factor loadings as indicative of contagion. We find evidence of systematic contagion from US markets and … contagion from domestic equity markets to individual domestic equity portfolios, with its severity inversely related to the …
Persistent link: https://www.econbiz.de/10009148883
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Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion
Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - C.E.P.R. Discussion Papers - 2002
This Paper develops a test of contagion in financial markets based on bivariate correlation analysis, which generalizes … existing tests, and applies it to the international effects of the Hong Kong stock market crisis of October 1997. Contagion is … country-specific shocks in Hong Kong, our test finds evidence of contagion for 5 countries out of a sample of 17. This is in …
Persistent link: https://www.econbiz.de/10005791976