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Banks' regulatory capital buffer and the business cycle: evidence for German savings and cooperative banks

Stolz, Stéphanie; Wedow, Michael - 2005

fluctuation is stronger for savings banks than for cooperative banks, as, for savings banks, risk-weighted assets fluctuate more … not decrease risk-weighted assets in a business cycle downturn by more than well-capitalized banks. This finding seems to …

Persistent link: https://www.econbiz.de/10010295900

Credit valuation adjustment modelling during a global low interest rate environment

Macek, Petr; Teplý, Petr - 2015

the global over-the-counter (OTC) derivatives markets, where significant counterparty credit risk prevails. In this paper …, we deal with risk under Basel III banking regulation and provide credit valuation adjustment (CVA) modelling, which is a … measure of the market value of counterparty credit risk. We use simulated data to develop a stress test model to determine the …

Persistent link: https://www.econbiz.de/10011340608

Bank risk-taking, securitization, supervision and low interest rates: Evidence from the euro area and the U.S. lending standards

Maddaloni, Angela; Peydró, José-Luis - 2010

Using a unique dataset of the Euro area and the U.S. bank lending standards, we find that low (monetary policy) short-term interest rates soften standards, for household and corporate loans. This softening – especially for mortgages – is amplified by securitization activity, weak supervision...

Persistent link: https://www.econbiz.de/10011605294

Bank capital and liquidity creation: Granger-causality evidence

Horváth, Roman; Seidler, Jakub; Weill, Laurent - 2012

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/10011605542

Securities trading by banks and credit supply: Micro-evidence from the crisis

Abbassi, Puriya; Iyer, Rajkamal; Peydró, José-Luis; … - 2016

We analyze securities trading by banks during the crisis and the associated spillovers to the supply of credit. We use a proprietary dataset that has the investments of banks at the security level for 2005-2012 in conjunction with the credit register from Germany. We find that - during the...

Persistent link: https://www.econbiz.de/10011984788

Why are banks not recapitalized during crises?

Crosignani, Matteo - 2017

the sovereign risk is sufficiently high, low-capital banks reduce private lending to further increase their holdings of …

Persistent link: https://www.econbiz.de/10011984840

Countercyclical capital regulation in a small open economy DSGE model

Lozej, Matija; Onorante, Luca; Rannenberg, Ansgar - 2018

We examine, conditional on structural shocks, the macroeconomic performance of different countercyclical capital buffer (CCyB) rules in small open economy estimated medium scale DSGE. We find that rules based on the credit gap create a trade-off between the stabilization of fluctuations...

Persistent link: https://www.econbiz.de/10011916848

Optimal bank capitalization in crowded markets

Bertsch, Christoph; Mariathasan, Mike - 2017

We study banks' optimal equity buffer in general equilibrium and their response to under-capitalization. Making progress towards a "pecking order theory" for private recapitalizations, our benchmark model identifies equity issuance as individually and socially optimal, compared to deleveraging,...

Persistent link: https://www.econbiz.de/10011943297

Why do banks hold capital in excess of regulatory requirements? A functional approach

Dietrich, Diemo; Vollmer, Uwe - 2004

This paper provides an explanation for the observation that banks hold on average a capital ratio in excess of regulatory requirements. We use a functional approach to banking based on Diamond and Rajan (2001) to demonstrate that banks can use capital ratios as a strategic tool for renegotiating...

Persistent link: https://www.econbiz.de/10010263472

Does capital regulation matter for bank behavior? Evidence for German savings banks

Heid, Frank; Porath, Daniel; Stolz, Stéphanie - 2003

The aim of this paper is to assess how German savings banks adjust capital and risk under capital regulation. We … fewer restrictions with regard to the impact of regulation on capital and risk adjustments. Besides, we complement our … and risk adjustments depends on the amount of capital the bank holds in excess of the regulatory minimum (the so …

Persistent link: https://www.econbiz.de/10010276736