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How to make regulators and shareholders happy under Basel III
Schmaltz, Christian; Pokutta, Sebastian; Heidorn, Thomas; … - In: Journal of Banking & Finance 46 (2014) C, pp. 311-325
In addition to the Basel II capital ratio, Basel III requires banks to respect additional ratios, such as leverage ratio, liquidity coverage ratio and net stable funding ratio. Banks are required to be compliant with all four constraints simultaneously. Our article provides a framework for banks...
Persistent link: https://www.econbiz.de/10010907109
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The Impact of the Basel III Liquidity Regulations on the Bank Lending Channel: A Luxembourg case study
Giordana, Gaston; Schumacher, Ingmar - Central Bank of Luxembourg - 2011
the Net Stable Funding Ratio (NSFR), on the bank lending channel in Luxembourg. For this aim we built, based on individual … bank data, time series of the LCR and NSFR for a sample of banks covering between 82% and 100% of total assets of the … estimated shortfalls in both the LCR and NSFR. We find a significant role for the bank lending channel in Luxembourg which …
Persistent link: https://www.econbiz.de/10009283380
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After the global financial crisis: From international to multinational banking?
McCauley, Robert; McGuire, Patrick; von Peter, Goetz - In: Journal of Economics and Business 64 (2012) 1, pp. 7-23
The financial crisis has led to a reconsideration of banks’ global business models. Using a dataset derived from the BIS banking statistics, this paper studies the geography of global banking. It distinguishes between “international” and “multinational” banks, their respective funding...
Persistent link: https://www.econbiz.de/10011065961
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The Effects of Liquidity Regulation on Bank Assets and Liabilities
Duijm, Patty; Wierts, Peter - Tinbergen Instituut - 2014
Under Basel III rules, banks become subject to a liquidity coverage ratio (LCR) from 2015 onwards, to promote short-term resilience. We investigate the effects of such liquidity regulation on bank liquid assets and liabilities. Results indicate co-integration of liquid assets and liabilities, to...
Persistent link: https://www.econbiz.de/10011256455
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Basel III: solving the liquidity business challenge
Fiedler, Robert; Mahlknecht, Michael - In: Journal of Financial Transformation 37 (2013), pp. 77-94
currently discussing; focusing on funds transfer pricing (FTP), the active steering of LCR and NSFR, deposit analysis and …
Persistent link: https://www.econbiz.de/10010840615
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New Regulation and the New World of Global Banking
Cecchetti, Stephen G.; Domanski, Dietrich; Peter, Goetz von - In: National Institute Economic Review 216 (2011) 1, pp. 29-29
Global banks are changing. With a new set of rules come new business models. We review the international dimension of the financial crisis, centring on cross-border losses and cross-currency funding problems that prompted authorities to adopt wide-ranging rescue measures and liquidity...
Persistent link: https://www.econbiz.de/10009294491
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Liquidity regulation and the implementation of monetary policy
Bech, Morten L.; Keister, Todd - Department of Economics, Rutgers University-New Brunswick - 2013
In addition to revamping existing rules for bank capital, Basel III introduces a new global framework for liquidity regulation. One part of this framework is the liquidity coverage ratio (LCR), which requires banks to hold sufficient high-quality liquid assets to survive a 30-day period of...
Persistent link: https://www.econbiz.de/10010797427
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A Multiplicative Model of Countercyclical Capital Buffer Evaluation Differentiated by Homogeneous Clusters of Countries
Aleskerov, Fuad; Keskinbaev, Azamat; Penikas, Henry - National Research University Higher School of Economics - 2012
The Basel Committee introduced countercyclical capital buffers in order to mitigate the effects of bank capital procyclicality, which is to say the decrease in the capital adequacy of banks in economic downturns. The ratio of loans to GDP was taken as the proxy for the economic cycle signaling...
Persistent link: https://www.econbiz.de/10010720433
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Outside Liquidity, Rollover Risk, and Government Bonds
Luck, Stephan; Schempp, Paul - Max-Planck-Institut zur Erforschung von … - 2014
This paper discusses whether financial intermediaries can optimally provide liquidity, or whether the government has a role in creating liquidity by supplying government securities. We discuss a model in which intermediaries optimally manage liquidity with outside rather than inside liquidity:...
Persistent link: https://www.econbiz.de/10010928968
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Is there a role for funding in explaining recent US bank failures?
Bologna, Pierluigi - Banca d'Italia - 2011
This paper tests the role of different banks� liquidity funding structures in explaining the bank failures that occurred in the United States between 2007 and 2009. The results highlight that funding is indeed a significant factor in explaining banks� probability of default. By...
Persistent link: https://www.econbiz.de/10009350682