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Author: Juan Ayuso
Publisher:
ISBN:
Category : Bank capital
Languages : es
Pages : 36
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Book Description
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:
Category : Bank capital
Languages : es
Pages : 36
Get Book Here
Book Description
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: Joseph M. Berrospide
Publisher: DIANE Publishing
ISBN: 1437939864
Category : Business & Economics
Languages : en
Pages : 50
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Book Description
The effect of bank capital on lending is a critical determinant of the linkage between financial conditions and real activity, and has received especial attention in the recent financial crisis. The authors use panel-regression techniques to study the lending of large bank holding companies (BHCs) and find small effects of capital on lending. They then consider the effect of capital ratios on lending using a variant of Lown and Morgan's VAR model, and again find modest effects of bank capital ratio changes on lending. The authors¿ estimated models are then used to understand recent developments in bank lending and, in particular, to consider the role of TARP-related capital injections in affecting these developments. Illus. A print on demand pub.
Author: José Abad
Publisher: International Monetary Fund
ISBN: 1616358939
Category : Business & Economics
Languages : en
Pages : 61
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Book Description
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: Jihad Dagher
Publisher: International Monetary Fund
ISBN: 1513539337
Category : Business & Economics
Languages : en
Pages : 38
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Book Description
The appropriate level of bank capital and, more generally, a bank’s capacity to absorb losses, has been at the core of the post-crisis policy debate. This paper contributes to the debate by focusing on how much capital would have been needed to avoid imposing losses on bank creditors or resorting to public recapitalizations of banks in past banking crises. The paper also looks at the welfare costs of tighter capital regulation by reviewing the evidence on its potential impact on bank credit and lending rates. Its findings broadly support the range of loss absorbency suggested by the Financial Stability Board (FSB) and the Basel Committee for systemically important banks.
Author: Mr.Eugenio Cerutti
Publisher: International Monetary Fund
ISBN: 1513526634
Category : Business & Economics
Languages : en
Pages : 43
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Book Description
This paper analyzes the behavior of gross capital inflows across 34 emerging markets (EMs). We first confirm that aggregate inflows to EMs co-move considerably. We then report three findings: (i) the aggregate co-movement conceals significant heterogeneity across asset types as only bank-related and portfolio bond and equity inflows do co-move; (ii) while global push factors in advanced economies mostly explain the common dynamics, their relative importance varies by type of flow; and (iii) the sensitivity to common dynamics varies significantly across borrower countries, with market structure characteristics (especially the composition of the foreign investor base and the level of liquidity) rather than borrower country’s institutional fundamentals strongly affecting sensitivities. Countries relying more on international funds and global banks are found to be more sensitive to push factors. Our findings suggest that EMs need to closely monitor their lenders and investors to assess their inflow exposures to global push factors.
Author: Mr.Luc Laeven
Publisher: International Monetary Fund
ISBN: 1451873549
Category : Business & Economics
Languages : en
Pages : 43
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Book Description
This paper shows that banks use accounting discretion to overstate the value of distressed assets. Banks' balance sheets overvalue real estate-related assets compared to the market value of these assets, especially during the U.S. mortgage crisis. Share prices of banks with large exposure to mortgage-backed securities also react favorably to recent changes in accounting rules that relax fair-value accounting, and these banks provision less for bad loans. Furthermore, distressed banks use discretion in the classification of mortgage-backed securities to inflate their books. Our results indicate that banks' balance sheets offer a distorted view of the financial health of the banks.
Author:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
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Book Description
Author: Vanessa Le Leslé
Publisher: International Monetary Fund
ISBN: 1475502656
Category : Business & Economics
Languages : en
Pages : 50
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Book Description
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: Markus Konrad Brunnermeier
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Geert Reuten
Publisher: Historical Materialism
ISBN: 9781642593730
Category : Business & Economics
Languages : en
Pages : 727
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Book Description
Geert Reuten offers a systematic exposition of the capitalist system, showing that the capitalist economy and the capitalist state constitute a unity.
