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Bank capital regulation and secondary markets for bank assets

Kowalik, Michal - Federal Reserve Bank of Kansas City - 2011

The paper derives optimal capital requirements, when the bank’s quality is private information. The supervisor can inspect the bank and punish the undercapitalized one with recapitalization and downsizing. The cost of bank’s capital and its ability to sell its assets are crucial for the...

Persistent link: https://www.econbiz.de/10009024061

The potential role of subordinated debt programs in enhancing market discipline in banking

Evanoff, Douglas; Jagtiani, Julapa; Nakata, Taisuke - Federal Reserve Bank of Kansas City - 2007

Previous studies have found that subordinated debt (sub-debt) markets do differentiate between banks with different risk profiles. This finding satisfies a necessary condition for regulatory proposals which would mandate increased reliance on sub-debt in the bank capital structure to discipline...

Persistent link: https://www.econbiz.de/10005410797

Central bank intervention and the volatility of foreign exchange rates: evidence from the options market

Bonser-Neal, Catherine; Tanner, Glenn - Federal Reserve Bank of Kansas City - 1995

This paper tests the effects of central bank intervention on the ex ante volatility of $/DM and $/Yen exchange rates. In contrast to previous research which employed GARCH estimates of conditional volatility, we estimate ex ante volatility using the implied volatilities of currency options...

Persistent link: https://www.econbiz.de/10005410684

How do large banking organizations manage their capital ratio?

Berger, Allen; DeYoung, Robert; Flannery, Mark; Lee, David - Federal Reserve Bank of Kansas City - 2008

Large banking organizations in the U.S. hold significantly more equity capital than the minimum required by bank regulators. This capital cushion has built up during a period of unusual profitability for the banking system, leading some observers to argue that the capital merely reflects recent...

Persistent link: https://www.econbiz.de/10005724252

Direct tests of index arbitrage models

Neal, Robert - Federal Reserve Bank of Kansas City - 1995

Previous tests of stock index arbitrage models have rejected the no-arbitrage constraint imposed by these models. This … paper provides a detailed analysis of actual S&P 500 arbitrage trades and directly relates these trades to the predictions … of index arbitrage models. An analysis of arbitrage trades suggests that (i) short sale rules are unlikely to restrict …

Persistent link: https://www.econbiz.de/10005410702