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Modelling the liquidity ratio as macroprudential instrument
End, Jan Willem van den; Kruidhof, Mark - de Nederlandsche Bank - 2012
The Basel 3 Liquidity Coverage Ratio (LCR) is a micro prudential instrument to strengthen the liquidity position of … regulatory rule can have negative externalities. We simulate the systemic implications of the LCR by a liquidity stress …
Persistent link: https://www.econbiz.de/10010543516
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Banks' Liquidity Buffers and the Role of Liquidity Regulation
Bonner, Clemens; Lelyveld, Iman van; Zymek, Robert - de Nederlandsche Bank - 2013
We assess the determinants of banks' liquidity holdings using balance sheet data for nearly 7000 banks from 30 OECD … banks' liquidity risk management. Our main question is whether the presence of liquidity regulation substitutes or … complements banks' incentives to hold liquid assets. Our results reveal that in the absence of liquidity regulation, the …
Persistent link: https://www.econbiz.de/10010757282
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Bank liquidity, the maturity ladder, and regulation
Haan, Leo de; End, Jan Willem van den - de Nederlandsche Bank - 2012
We investigate 62 Dutch banks' liquidity behaviour between January 2004 and March 2010, when these banks were subject … to a liquidity regulation that is very similar to Basel III's Liquidity Coverage Ratio (LCR). We find that most banks … interaction between capital and liquidity buffers. However, this interaction turns out to be weaker during a crisis. Although not …
Persistent link: https://www.econbiz.de/10010757286
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A macroprudential approach to address liquidity risk with the Loan-to-Deposit ratio
End, Jan Willem van den - de Nederlandsche Bank - 2013
policy to mitigate liquidity risk. We inspect the LTD trends and cycles of 11 euro area countries by filtering methods and …
Persistent link: https://www.econbiz.de/10010822694
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Systemic risk and bank business models
Oordt, Maarten van; Zhou, Chen - de Nederlandsche Bank - 2014
In this study we disentangle two dimensions of banks' systemic risk: the level of bank tail risk and the linkage between a bank's tail risk and severe shocks in the financial system. We employ a measure of the systemic risk of financial institutions that can be decomposed into two subcomponents...
Persistent link: https://www.econbiz.de/10010945596
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Effect of bank capital requirements on economic growth: a survey
Martynova, Natalya - de Nederlandsche Bank - 2015
This paper reviews studies exploring how higher bank capital requirements affect economic growth. There is little evidence of a direct effect; research focuses on the indirect effects of capital requirements on credit supply, bank asset risk, and cost of bank capital, which in turn can affect...
Persistent link: https://www.econbiz.de/10011213677
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Regulation and banking: a survey
Hebbink, G.E.; Prast, H.M. - de Nederlandsche Bank - 1998
This report presents an overview of the theory of regulation in general, with special attention for the regulation of banks. Two theories of government regulation are described. The first, normative, theory uses market failures as the justification of government regulation. The second, positive,...
Persistent link: https://www.econbiz.de/10005021856
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Bank capital ratios in the 1990s: cross-country evidence
Bondt, G.J. de; Prast, H.M. - de Nederlandsche Bank - 1999
This study aims at assessing empirically the determinants of changes in risk-weighted bank capital ratios in the 1990s in Germany, France, Italy, the Netherlands, the UK and the US. Both bank-specific characteristics, factors at the banking industry level and the degree of undercapitalization...
Persistent link: https://www.econbiz.de/10005021872
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Risk in Financial Conglomerates: Management and Supervision
Lelyveld, Iman van; Schilder, Arnold - de Nederlandsche Bank - 2002
Financial conglomerates, combining banking, securities trading, and insurance, have become an important part of the financial landscape in many countries. Cross-sector consolidation has been fostered by trends such as disintermediation, globalization, and deregulation creating new challenges for...
Persistent link: https://www.econbiz.de/10005021889
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Cyclical Patterns in Profits, Provisioning and Lending of Banks
Bikker, J.A.; Hu, H. - de Nederlandsche Bank - 2003
The proposed risk sensitive minimum requirements of the new Basel capital accord have raised concerns about possible (acceleration of) procyclical behaviour of banking, which might threaten macroeconomic stability. This paper analyses the interaction between business cycles and bank behaviour...
Persistent link: https://www.econbiz.de/10005021893