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Author : Juan Ayuso
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (51 download)
Download or read book Are Capital Buffers Pro-cyclical? written by Juan Ayuso and published by . This book was released on 2002 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Juan Ayuso
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (319 download)
Download or read book Are Capital Buffers Pro-cyclical? written by Juan Ayuso and published by . This book was released on 2002 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Se analiza la relación entre el ciclo económico y los excedentes de capital sobre requerimientos de recursos propios de bancos y cajas en España. A partir de un panel de datos individuales para el período 1986-2000 (que cubre un ciclo completo), se estima una ecuación para el comportamiento del capital excedentario, que incluye entre los regresores un indicador de posición cíclica. Los resultados del ejercicio son muy robustos y claros y muestran que, una vez que se controlan los efectos del resto de sus determinantes, los excesos de capital mantienen una relación negativa con la posición en el ciclo. En términos cuantitativos, un aumento de un punto porcentual en la tasa de crecimiento del PIB reduce el colchón de capital en un 17%. Esta relación es, además,asimétrica, siendo más acusada durante las fases expansivas del ciclo. De acuerdo con estos resultados, el llamado problema de la prociclicidad de los requerimientos de capital debería ser tenido en cuenta en el diseño final de Basilea II, probablemente en el marco del segundo pilar de dicho acuerdo.
Author : Juan Ayuso
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (71 download)
Download or read book Are Capital Buffers Pro-cyclical? written by Juan Ayuso and published by . This book was released on 2002 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Marianne Ojo D Delaney PhD
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (13 download)
Download or read book Measures Aimed at Mitigating Pro Cyclical Effects of the Capital Requirements Framework written by Marianne Ojo D Delaney PhD and published by . This book was released on 2016 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: As well as highlighting the importance of introducing counter cyclical capital buffers, this paper draws attention to the need for greater focus on “more forward looking provisions”, as well as provisions which are aimed at addressing losses and unforeseen problems attributed to “maturity transformation of short-term deposits into long term loans.” Whilst the need for forward looking provisioning has been echoed by some authorities on the literature, the paper also adds weight to the argument through its attempt to link such an argument to the ever increasing prominence assumed by liquidity risks - since liquidity also contributes to pro cyclicality.“The complex response of financial institutions to deteriorating market conditions - which to a large extent, is attributed to liquidity shortfalls which reflected on and off balance sheet maturity mismatches and excessive levels of leverage, has resulted in an increasingly important role for liquidity provided by central banks in the funding of bank balance sheets.” Owing to such increased importance of liquidity risks, this paper also attempts to highlight why the Basel Committee's Counter Cyclical Buffer Proposal - a response to the recent financial crisis (which to a significant extent, focuses on banking sector capital requirements), should also take greater account of more forward looking provisions. In so doing, it draws attention to the importance of coupling forward looking provisions (as well as other measures) with counter cyclical charges and why this provides a better alternative to the mere introduction of counter cyclical capital charges.
Author : Markus Konrad Brunnermeier
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (11 download)
Download or read book The fundamental principles of financial regulation written by Markus Konrad Brunnermeier and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : José Abad
Publisher : International Monetary Fund
ISBN 13 : 1616358939
Total Pages : 61 pages
Book Rating : 4.6/5 (163 download)
Download or read book Usability of Bank Capital Buffers: The Role of Market Expectations written by José Abad and published by International Monetary Fund. This book was released on 2022-01-28 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following the COVID shock, supervisors encouraged banks to use capital buffers to support the recovery. However, banks have been reluctant to do so. Provided the market expects a bank to rebuild its buffers, any draw-down will open up a capital shortfall that will weigh on its share price. Therefore, a bank will only decide to use its buffers if the value creation from a larger loan book offsets the costs associated with a capital shortfall. Using market expectations, we calibrate a framework for assessing the usability of buffers. Our results suggest that the cases in which the use of buffers make economic sense are rare in practice.
Author : Mr.Jaromir Benes
Publisher : International Monetary Fund
ISBN 13 : 148432305X
Total Pages : 26 pages
Book Rating : 4.4/5 (843 download)
Download or read book Mitigating the Deadly Embrace in Financial Cycles written by Mr.Jaromir Benes and published by International Monetary Fund. This book was released on 2016-04-08 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a new version of MAPMOD (Mark II) to study the effectiveness of macroprudential regulations. We extend the original model by explicitly modeling the housing market. We show how household demand for housing, house prices, and bank mortgages are intertwined in what we call a deadly embrace. Without macroprudential policies, this deadly embrace naturally leads to housing boom and bust cycles, which can be very costly for the economy, as shown by the Global Financial Crisis of 2008-09.
Author : Martin Cihák
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (318 download)
Download or read book Banking Competition and Capital Ratios written by Martin Cihák and published by International Monetary Fund. This book was released on 2007-09 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use data for more than 2,600 European banks to test whether increased competition causes banks to hold higher capital ratios. Employing panel data techniques, and distinguishing between the competitive conduct of small and large banks, we show that banks tend to hold higher capital ratios when operating in a more competitive environment. This result holds when controlling for the degree of concentration in banking systems, inter-industry competition, characteristics of the wider financial system, and the regulatory and institutional environment.
Author : Mathias Drehmann
Publisher :
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.3/5 ( download)
Download or read book Countercyclical Capital Buffers written by Mathias Drehmann and published by . This book was released on 2010 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides some general lessons for the design of countercyclical capital buffers. Its main empirical contribution is to analyse conditioning variables which could guide the build-up and release of capital. A major distinction for countercyclical capital schemes is whether conditioning variables are bank-specific or system-wide. The evidence presented in the paper indicates that the idiosyncratic component can be sizeable when a bank-specific approach is used. This makes a system-wide approach preferable, for which the best variables as signal for the pace and size of the accumulation of the buffers are not necessarily the best for the timing and intensity of the release. The credit-to-GDP ratio seems best for the build-up phase. Some measure of aggregate losses, possibly combined with indicators of credit conditions, seem to perform well for signalling the beginning of the release phase. Nonetheless, the analysis indicates that designing a fully rule-based mechanism may not be possible at this stage as some degree of judgment seems inevitable. A parallel exercise indicates that reducing the sensitivity of the minimum capital requirement is an important element of a credible countercyclical buffer scheme.
Author : Frank Heid
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (13 download)
Download or read book Do Capital Buffers Mitigate Volatility of Bank Lending? A Simulation Study written by Frank Heid and published by . This book was released on 2016 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Critics claim that capital requirements can exacerbate credit cycles by restricting lending in an economic downturn. The introduction of Basel 2, in particular, has led to concerns that risksensitive capital charges are highly correlated with the business cycle. The Basel Committee is contemplating a revision of the Basel Accord by introducing counter-cyclical capital buffers. Others claim that capital buffers are already large enough to absorb fluctuations in credit risk. We address the question of the pro-cyclical effects of capital requirements in a general framework which takes into account banks' potential adjustment strategies. We develop a dynamic model of bank lending behavior and simulate different regulatory frameworks and macroeconomic scenarios. In particular, we address two related questions in our simulation study: How do business fluctuations affect capital requirements and bank lending? To what extent does the capital buffer absorb fluctuations in the level of mimimum required capital?
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1498342620
Total Pages : 45 pages
Book Rating : 4.4/5 (983 download)
Download or read book Staff Guidance Note on Macroprudential Policy written by International Monetary Fund and published by International Monetary Fund. This book was released on 2014-06-11 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This note provides guidance to facilitate the staff’s advice on macroprudential policy in Fund surveillance. It elaborates on the principles set out in the “Key Aspects of Macroprudential Policy,” taking into account the work of international standard setters as well as the evolving country experience with macroprudential policy. The main note is accompanied by supplements offering Detailed Guidance on Instruments and Considerations for Low Income Countries
Author : Joseph G. Haubrich
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (95 download)
Download or read book How Cyclical is Bank Capital? written by Joseph G. Haubrich and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Stijn Claessens
Publisher : International Monetary Fund
ISBN 13 : 1498357601
Total Pages : 36 pages
Book Rating : 4.4/5 (983 download)
Download or read book Macro-Prudential Policies to Mitigate Financial System Vulnerabilities written by Mr.Stijn Claessens and published by International Monetary Fund. This book was released on 2014-08-19 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macro-prudential policies aimed at mitigating systemic financial risks have become part of the policy toolkit in many emerging markets and some advanced countries. Their effectiveness and efficacy are not well-known, however. Using panel data regressions, we analyze how changes in balance sheets of some 2,800 banks in 48 countries over 2000–2010 respond to specific macro-prudential policies. Controlling for endogeneity, we find that measures aimed at borrowers––caps on debt-to-income and loan-to-value ratios––and at financial institutions––limits on credit growth and foreign currency lending––are effective in reducing asset growth. Countercyclical buffers are little effective through the cycle, and some measures are even counterproductive during downswings, serving to aggravate declines, consistent with the ex-ante nature of macro-prudential tools.
Author : Vanessa Le Leslé
Publisher : International Monetary Fund
ISBN 13 : 1475502656
Total Pages : 50 pages
Book Rating : 4.4/5 (755 download)
Download or read book Revisiting Risk-Weighted Assets written by Vanessa Le Leslé and published by International Monetary Fund. This book was released on 2012-03-01 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.
Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gabriel Jiménez
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (13 download)
Download or read book Macroprudential Policy, Countercyclical Bank Capital Buffers and Credit Supply written by Gabriel Jiménez and published by . This book was released on 2015 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: To study the impact of macroprudential policy on credit supply cycles and real effects, we analyze dynamic provisioning, which implies pro-cyclical bank capital regulation. Introduced in Spain in 2000, revised four times and tested in its counter-cyclicality during the crisis, it affected banks differentially. Accessing an exhaustive credit register, we find that dynamic provisioning smooths credit supply cycles and, in bad times, supports firm performance. A policy-induced one-percentage point (pp) increase in capital buffers extends credit to firms by 9 pp, increasing firm employment (6 pp) and survival (1 pp). Moreover, there are important compositional effects in credit supply related to risk and regulatory arbitrage by non-regulated and regulated-but-less-affected banks.
Author : Iwan J. Azis
Publisher : Springer
ISBN 13 : 9812872841
Total Pages : 129 pages
Book Rating : 4.8/5 (128 download)
Download or read book Managing Elevated Risk written by Iwan J. Azis and published by Springer. This book was released on 2014-12-11 with total page 129 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the risks and opportunities that arise in Emerging Asia given the context of a new environment in global liquidity and capital flows. It elaborates on the need to ensure financial and overall economic stability in the region through improved financial regulation and other policy measures to minimize the emergent risks. "Managing Elevated Risk: Global Liquidity, Capital Flows, and Macroprudential Policy—An Asian Perspective" also explores the range of policy options that may be deployed to address the impact of global liquidity on domestic financial and socio-economic conditions including income inequality. The book is primarily aimed at policy makers, financial market regulators and supervisory agencies to help them improve national regulatory systems and to promote harmonization of national regulations and practices in line with global standards. Scholars and researchers will also gain important information and knowledge about the overall impacts of changing global liquidity from the book.
