Bank capital requirements are based on a mix of market values and book values. We investigate the effects of a policy … banking organizations. Our analysis is based on security-level data on individual bank portfolios matched to bond …

increase in contagion among banks. The increase in bank contagion is most severe during periods of market illiquidity. Further …, my cross-sectional analyses suggest that increased bank contagion associated with fair value accounting is more likely to …

the explicit inclusion of volatile fair value estimates in regulatory bank capital adequacy assessments. I do not, however … to a bank's external stakeholders about its financial position and performance. I also show that higher fair value … volatility of investment securities, lower bank capital, and larger AFS security holdings increase banks' marginal contribution …

the explicit inclusion of volatile fair value estimates in regulatory bank capital adequacy assessments. I do not, however … to a bank's external stakeholders about its financial position and performance. I also show that higher fair value … volatility of investment securities, lower bank capital, and larger AFS security holdings increase banks' marginal contribution …