We develop a dynamic structural model of bank behaviour that provides a microeconomic foundation for bank capital and …

This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …

This paper investigates the costs and benefi ts of liquidity regulation. We find that liquidity tools are bene ficial … but cannot completely remove the need for Lender of Last Resort (LOLR) interventions by the central bank. Full compliance …

We analyse the cross-border propagation of prudential regulation in the euro area. Using the Prudential Instruments …-specific capital buffers in the countries where their parent banks reside and that bank size and liquidity play a role in determining …

This paper proposes a new methodology to evaluate the economic effect of state-specific policy changes, using bank … regression discontinuity setup. The study uses a total of 285 pairs of contiguous counties along 38 segments of such regulation …

risk-weighted assets or increase asset holdings when being above their optimal Tier 1 ratio, whereas they rather try to … increase equity levels or reshuffle risk-weighted assets without changing asset holdings when being below target. At the same …

We analyze the effect of bank capital requirements on the structure and risk of a financial system where markets … expensive private certification. Under both risk-insensitive and risk-sensitive requirements, safer entrepreneurs borrow from … the market and riskier entrepreneurs borrow from banks. But risk-insensitive (sensitive) requirements are especially …

Prior to the financial crisis, prudential regulation in the EU was implemented non-uniformly across countries, as … framework were more likely to require public support during the crisis. We instrument some characteristics of bank balance … sheets with these prudential indicators to investigate how they affect bank resilience. The share of non-interest income …

Basel III has introduced a non-risk-weighted leverage ratio requirement (LRR) which complements the internal ratings … based (IRB) capital requirements. It provides a backstop against model risk which arises if some loans get incorrectly rated … that the LRR might induce banks with low-risk lending strategies to diversify their portfolios into high-risk loans until …