A Dynamic Model of Bank Behaviour under Multiple Regulatory Constraints

Behn, Markus; Daminato, Claudio; Salleo, Carmelo

doi:10.2139/ssrn.3327174

Cited by 7 publications

(3 citation statements)

References 60 publications

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“…Recent papers studying the interaction between different capital requirements include Goel et al (2017) and Mankart et al (2018). The interaction between capital and liquidity requirements is studied by Chami et al (2017), Cecchetti and Kashyap (2018), Hoerova et al (2018), andBehn et al (2019).…”

Section: Methodsmentioning

confidence: 99%

“…The NSFR aims to prevent banks from excessively financing long-term assets with short-term liabilities and thus seeks to mitigate the potential for future funding stress. While the NSFR has thus far not been a binding requirement in the European Union, it has been implemented via the revised version of the Capital Requirements Regulation (CRR) published in June 2019 (Behn et al 2019;Chami et al 2017).…”

Section: Net Stable Funding Ratio (Nsfr)mentioning

confidence: 99%

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Regulatory Implications of the Supervision and Management of Liquidity Risk: An Analysis of Recent Developments in Spanish Financial Institutions

Mariscal-Cáceres,

Cristófol-Rodríguez,

Cerdá-Suárez

2024

JRFM

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The aim of this paper is to analyze the evolution of bank liquidity regulations, considering the global regulatory framework applicable to financial institutions, from the beginning of the banking and liquidity crisis in 2007–2008 to the present. The new liquidity requirements under Basel III regulations are defined. An analysis is made of the recent evolution of credit institutions in Spain from different banking prisms to determine how the new banking regulation and supervision, following the start of supervisory powers by the European Central Bank at the end of 2014, has affected them. The methodology applied has been firstly the literature review, followed by a compilation and analysis of the financial and statistical evidence available on the main Spanish financial institutions, from the European Central Bank and the Bank of Spain, as well as information published by other agencies and the financial institutions themselves. It concludes with a reflection and analysis of the outlook for the sector once the most recent impacts, derived from COVID-19, and the supply crisis with the rise in global inflation and the increase in interest rates have been overcome. It can be stated that credit institutions in Spain have significantly improved their liquidity position over the last 15 years.

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Section: Methodsmentioning

confidence: 99%

Section: Net Stable Funding Ratio (Nsfr)mentioning

confidence: 99%

Regulatory Implications of the Supervision and Management of Liquidity Risk: An Analysis of Recent Developments in Spanish Financial Institutions

Mariscal-Cáceres,

Cristófol-Rodríguez,

Cerdá-Suárez

2024

JRFM

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“…First, compared to microeconomic models of banks with an equity issuance constraint or costly equity issuance, such as Van den Heuvel (2006), De Nicolò, Gamba, andLucchetta (2014), Behn, Daminato, and Salleo (2019) or Mankart, Michaelides, and Pagratis (2020), we solve a banking sector equilibrium model where interest rates are determined endogenously instead of given exogenously. This feature of endogenous interest rates is essential to study the aggregate loan supply implications of changes in capital requirements for the entire banking sector.…”

Section: Introductionmentioning

confidence: 99%

The State-Dependent Impact of Changes in Bank Capital Requirements

Lang,

Menno

2023

SSRN Journal

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The relationship between capital and liquidity prudential instruments

2020

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The risks associated with credit and liquidity positions and asset and liability maturity mismatches are mitigated by applying capital ratio, leverage ratio, liquidity coverage ratio and net stable funding ratio requirements to banks. As a macroprudential authority, the Czech National Bank moreover responds to changes in systemic risk by changing the capital buffer requirements. This can induce a reaction by banks leading to a change in their balance-sheet structure, which, in turn, will affect their degree of fulfilment of all the requirements. This article analyses the relationship between the regulatory capital and liquidity instruments by studying banks' response to an increase in the countercyclical capital buffer rate and a subsequent economic downturn. The results reveal that it is vital for macroprudential authorities to look at the initial levels of the other required ratios before starting to change the countercyclical capital buffer rate if they are to maximise the effectiveness of the latter.

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A Dynamic Model of Bank Behaviour under Multiple Regulatory Constraints

Cited by 7 publications

References 60 publications

Regulatory Implications of the Supervision and Management of Liquidity Risk: An Analysis of Recent Developments in Spanish Financial Institutions

Regulatory Implications of the Supervision and Management of Liquidity Risk: An Analysis of Recent Developments in Spanish Financial Institutions

The State-Dependent Impact of Changes in Bank Capital Requirements

The relationship between capital and liquidity prudential instruments

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