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Capital regulation and banks' financial decisions
Zhu, Haibin (Avtor)

URLURL - Predstavitvena datoteka, za dostop obiščite http://www.bis.org/publ/work232.pdf Novo okno

Izvleček
This paper develops a stochastic dynamic model to examine the impact of capital regulation on banks' financial decisions. In equilibrium, lending decisions, capital buffer and the probability of bank failure are endogenouslydetermined. Compared to a flat-rate capital rule, a risk-sensitivecapital standard causes the capital requirement to be much higher for small (and riskier) banks and much lower for large (and less risky)banks. Nevertheless, changes in actual capital holdings are less pronounced due to the offsetting effect of capital buffers. Moreover, the non-binding capital constraint in equilibrium implies that banks adopt an active portfolio strategy and hence the counter-cyclical movement of risk-based capital requirements does not necessarily lead to a reinforcement of the credit cycle. In fact, the results from the calibrated model show that the impact on cyclical lending behavior differs substantially across banks. Lastly, the analysis suggests that the adoption of a more risk-sensitive capital regime can be welfare-improving from a regulator's perspective, in that it causes less distortion in loan decisions and achieves a better balance between safety and efficiency.

Jezik:Angleški jezik
Ključne besede:bančništvo, banke, kapital, standardi, regulacija, odločanje, modeli, banking, banks, capital, standards, regulation, decision making, models
Vrsta gradiva:Delo ni kategorizirano (r6)
Organizacija:EF - Ekonomska fakulteta
Leto izida:2007
Založnik:Bank for International Settlements, Monetary and Economic Department
Št. strani:43 str.
Kraj:Basel
UDK:336.71
COBISS.SI-ID:17261542 Povezava se odpre v novem oknu
Število ogledov:451
Število prenosov:127
Metapodatki:XML RDF-CHPDL DC-XML DC-RDF
 
Skupna ocena:(0 glasov)
Vaša ocena:Ocenjevanje je dovoljeno samo prijavljenim uporabnikom.
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