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When losses turn into loans : the cost of undercapitalized banks

Blattner, Laura; Farinha, Luísa A.; Rebelo, Francisco - 2019

We provide evidence that a weak banking sector has contributed to low productivity growth following the European sovereign debt crisis. An unexpected increase in capital requirements for a subset of Portuguese banks in 2011 provides a natural experiment to study the effects of reduced bank...

Persistent link: https://www.econbiz.de/10011975387

Capital requirements, risk shifting and the mortgage market

Uluc, Arzu; Wieladek, Tomasz - 2017

We study the effect of changes to bank-specific capital requirements on mortgage loan supply with a new loan-level dataset containing all mortgages issued in the UK between 2005Q2 and 2007Q2. We find that a rise of a 100 basis points in capital requirements leads to a 5.4% decline in individual...

Persistent link: https://www.econbiz.de/10011647900

Macroprudential regulation of investment funds

Di Iasio, Giovanni; Kaufmann, Christoph; Wicknig, Florian - 2022

. Without regulation, funds hold insufficient deposits and must sell bonds when hit by large redemptions. Bond liquidation is …

Persistent link: https://www.econbiz.de/10013329424

Macroprudential regulation and leakage to the shadow banking sector

Gebauer, Stefan; Mazelis, Falk - 2020

institutions, or shadow banks, may not fall under their jurisdiction. We study the effects of tightening commercial bank regulation …

Persistent link: https://www.econbiz.de/10012216425

Pandemic lending : micro and macro effects of model-based regulation

Fiordelisi, Franco; Fusi, Giulia; Maddaloni, Angela; … - 2022

When the Covid-19 crisis struck, banks using internal-rating based (IRB) models quickly recognized the increase in risk and reduced lending more than banks using a standardized approach. This effect is not driven by borrowers' quality or by banks in countries with credit booms before the...

Persistent link: https://www.econbiz.de/10013485965

Climate transition risk in the banking sector : what can prudential regulation do?

Grill, Michael; Popescu, Alexandra; Rancoita, Elena - 2024

paper, by means of a DSGE model including heterogeneous firms and banks, financial frictions and prudential regulation … increases the volatility of lending and output. We further show that relying on microprudential regulation alone would not be … microprudential regulation, leads to a Pareto improvement. …

Persistent link: https://www.econbiz.de/10014490442

Same same but different : credit risk provisioning under IFRS 9

Behn, Markus; Couaillier, Cyril - 2023

We analyse the impact of the adoption of expected credit loss accounting (IFRS 9) on the timeliness and potential procyclicality of banks' loan loss provisioning. We use granular loan-level data from the euro area's credit register and investigate both firm-level credit events and macroeconomic...

Persistent link: https://www.econbiz.de/10014362650

A dynamic model of bank behaviour under multiple regulatory constraints

Behn, Markus; Daminato, Claudio; Salleo, Carmelo - 2019

We develop a dynamic structural model of bank behaviour that provides a microeconomic foundation for bank capital and liquidity structures and analyses the effects of changes in regulatory capital and liquidity requirements as well as their interaction. Our findings suggest that adjustments in...

Persistent link: https://www.econbiz.de/10011975498

Risk-to buffer : setting cyclical and structural banks capital requirements through stress tests

Couaillier, Cyril; Scalone, Valerio - 2024

In this paper, we propose a new framework to jointly calibrate cyclical and structural capital requirements. For this, we integrate a non-linear macroeconomic model and a stress test model. In the macroeconomic model, the severity of the scenarios depends on the level of cyclical risk....

Persistent link: https://www.econbiz.de/10015159581

Proposal on ELBE and LGD in-default : tackling capital requirements after the financial crisis

González, Marta Ramos; Partal Ureña, Antonio; … - 2018

Following the financial crisis, the share of non-performing loans has significantly increased, while the regulatory guidelines on the Internal-Ratings Based (IRB) approach for capital adequacy calculation related to defaulted exposures remains too general. As a result, the high-risk nature of...

Persistent link: https://www.econbiz.de/10011864189