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Mitigating the Procyclicality of Basel II

Repullo, Rafael; Saurina, Jesús; Trucharte, Carlos - C.E.P.R. Discussion Papers - 2009

This paper compares alternative procedures to mitigate the procyclicality of the new risk-sensitive bank capital regulation (Basel II). We estimate a model of the probabilities of default (PDs) of Spanish firms during the period 1987-2008, and use the estimated PDs to compute the corresponding...

Persistent link: https://www.econbiz.de/10004973964

The Manipulation of Basel Risk-Weights

Mariathasan, Mike; Merrouche, Ouarda - C.E.P.R. Discussion Papers - 2013

In this paper, we examine the relationship between banks’ approval for the internal ratings-based (IRB) approaches of Basel II and the ratio of risk-weighted over total assets. Analysing a panel of 115 banks from 21 OECD countries that were eventually approved for applying the IRB to their...

Persistent link: https://www.econbiz.de/10011083229

Cyclical Adjustment of Capital Requirements: A Simple Framework

Repullo, Rafael - C.E.P.R. Discussion Papers - 2012

We present a simple model of an economy with heterogeneous banks that may be funded with uninsured deposits and equity capital. Capital serves to ameliorate a moral hazard problem in the choice of risk. There is a fixed aggregate supply of bank capital, so the cost of capital is endogenous. A...

Persistent link: https://www.econbiz.de/10011084322

The Procyclical Effects of Basel II

Repullo, Rafael; Suarez, Javier - C.E.P.R. Discussion Papers - 2008

We analyze the cyclical effects of moving from risk-insensitive (Basel I) to risk-sensitive (Basel II) capital requirements in the context of a dynamic equilibrium model of relationship lending in which banks are unable to access the equity markets every period. Banks anticipate that shocks to...

Persistent link: https://www.econbiz.de/10005666764

Economic and Regulatory Capital: What is the Difference?

Elizalde, Abel; Repullo, Rafael - C.E.P.R. Discussion Papers - 2004

This Paper analyses the determinants of regulatory capital (the minimum required by regulation) and economic capital (the capital that shareholders would choose in absence of regulation) in the context of the single risk factor model that underlies the New Basel Capital Accord (Basel II). The...

Persistent link: https://www.econbiz.de/10005123827

Credit Rationing and Crowding-Out During the Industrial Revolution: Evidence from Hoare's Bank, 1702-1862

Temin, Peter; Voth, Hans-Joachim - C.E.P.R. Discussion Papers - 2004

Crowding-out during the British Industrial Revolution has long been one of the leading explanations for slow growth during the Industrial Revolution, but little empirical evidence exists to support it. We argue that examinations of interest rates are fundamentally misguided, and that the...

Persistent link: https://www.econbiz.de/10005504267

A Stable International Monetary System Emerges: Bretton Woods, Reversed

Rose, Andrew K - C.E.P.R. Discussion Papers - 2006

A stable international monetary system has emerged since the early 1990s. A large number of industrial and a growing number of developing countries now have domestic inflation targets administered by independent and transparent central banks. These countries place few restrictions on capital...

Persistent link: https://www.econbiz.de/10005497858

The Argentina Paradox: Microexplanations and Macropuzzles

Taylor, Alan M. - C.E.P.R. Discussion Papers - 2014

The economic history of Argentina presents one of the most dramatic examples of divergence in the modern era. What happened and why? This paper reviews the wide range of competing explanations in the literature and argues that, setting aside deeper social and political determinants, the various...

Persistent link: https://www.econbiz.de/10011083510

Towards a Legal Theory of Finance

Pistor, Katharina - C.E.P.R. Discussion Papers - 2012

This paper develops the building blocks for a legal theory of finance. LTF holds that financial markets are legally … self-destruction of the financial system. This law-finance paradox tends to be resolved by suspending the full force of law … finance is concentrated around ultimate lenders of last resort and why regulating finance’s core has become so elusive. It …

Persistent link: https://www.econbiz.de/10011084310

The Impact of Liquidity Regulation on Bank Intermediation

Bonner, Clemens; Eijffinger, Sylvester C W - C.E.P.R. Discussion Papers - 2012

We analyze the impact of non-compliance with a requirement similar to the Basel III Liquidity Coverage Ratio and its impact on bank intermediation applying Regression Discontinuity Designs. Using a unique dataset on Dutch banks, we show that non-compliance with a liquidity requirement causes...

Persistent link: https://www.econbiz.de/10011084639