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the LRR is no longer the binding capital constraint on them. If the LRR is lower than the average bank's IRB requirement …
Persistent link: https://www.econbiz.de/10013054089
The regulatory use of banks' internal models aims at making capital requirements more accurate and reducing regulatory arbitrage, but may also give banks incentives to choose their risk models strategically. Current policy answers to this problem include the use of risk-weight floors and...
Persistent link: https://www.econbiz.de/10013059120
. In our model, producers are financed by both bank debt and equity, and face a mix of systematic and idiosyncratic … macroprudential policy is represented by a convex dependence of bank capital requirements on the quantity of uncollateralized credit …
Persistent link: https://www.econbiz.de/10011605596
this policy through banks. This paper examines the role of bank liquidity, capitalization and market power as internal … monetary policy change on bank performance is also considered. The empirical analysis, using large panel datasets for the … rates by disaggregating down to the individual bank level. This is achieved by the use of a Local GMM technique that also …
Persistent link: https://www.econbiz.de/10013139446
relationship with their savings bank prior to applying for a loan, default significantly less than customers with no prior …
Persistent link: https://www.econbiz.de/10013119139
estimated while controlling for the macroeconomic environment. An increase in bank' balance sheet risk is shown to increase the …
Persistent link: https://www.econbiz.de/10013097610
We examine the relation between capital and liquidity creation. This issue is interesting because of the potential impact on liquidity creation from tighter capital requirements such as those in Basel III. We perform Granger-causality tests in a dynamic GMM panel estimator framework on an...
Persistent link: https://www.econbiz.de/10013097759
This paper develops a DSGE model where banks use short-term deposits to provide firms with long-term credit. The demand for long-term credit arises because firms borrow in order to finance their capital stock which they only adjust at infrequent intervals. Within an RBC framework, we show that...
Persistent link: https://www.econbiz.de/10013099027
This paper examines the quality of credit ratings assigned to banks in Europe and the United States by the three largest rating agencies over the past two decades. We interpret credit ratings as relative assessments of creditworthiness, and define a new ordinal metric of rating error based on...
Persistent link: https://www.econbiz.de/10013099611
of collateralized risky debt. The presence of moral hazard creates a link between the volatility in bank asset returns … and bank leverage. We find that, while standard TFP shocks fail to replicate the volatility and cyclicality of leverage …
Persistent link: https://www.econbiz.de/10013086096