This paper examines the relationship between capital and liquidity creation. This issue is of interest to determine the potential impact of tighter capital requirements such as those involved in Basel III reforms on liquidity creation. We perform Granger-causality tests in a dynamic GMM panel...

This paper focuses on how to calibrate models used to stress test the most important risks in the banking system. Based on the results of a verification of the Czech National Bank's stress testing methodology, the paper argues that stress tests should be calibrated conservatively and slightly...

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...

This paper focuses on how to calibrate models used to stress test the most important risks in the banking system. Based on the results of a verification of the Czech National Bank’s stress testing methodology, the paper argues that stress tests should be calibrated conservatively and slightly...

Excessive credit growth is often considered to be an indicator of future problems in the financial sector. This paper examines the issue of how to determine whether the observed level of private sector credit is excessive in the context of the "countercyclical capital buffer", a macroprudential...

This paper examines the relationship between capital and liquidity creation. This issue is of interest to determine the potential impact of tighter capital requirements such as those involved in Basel III reforms on liquidity creation. We perform Granger-causality tests in a dynamic GMM panel...