Basel III: Long-Term Impact on Economic Performance and Fluctuations

Angelini, Paolo; Clerc, Laurent; Cúrdia, Vasco; Gambacorta, Leonardo; Gerali, Andrea; Locarno, Alberto; Motto, Roberto; Roeger, Werner; Heuvel, Skander Van den; Vlček, Jan

doi:10.2139/ssrn.1773666

Cited by 47 publications

(18 citation statements)

References 16 publications

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“…For example, Admati et al (2010) argue that bank equity is not socially expensive and high leverage may not be optimal for banks, however, better capitalized banks will be less exposed to poor lending decisions and thus probability of bankruptcy and will have better performance. The other strand of literature argues that the regulatory capital would be costly and have an adverse effect on banks, in particular, Angelini et al (2011) find evidence that the increase in the capital ratio leads to welfare loss and 0.09 percent loss in the level of steady state output.…”

Section: International Journal Of Accounting and Financial Reportingmentioning

confidence: 99%

The Financial Crisis, Basel Accords and Bank Regulations: An Overview

ElBannan

2017

ijafr

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This theoretical study presents the different phases for the evolution of Basel Accords since 1988, and the continual efforts of Basel Committee on banking supervision to set out an effective framework to improve the banking sector governance and performance. In literature, compliance with Basel requirements concerning minimum capital requirements, powerful supervision and effective market discipline through information transparency and disclosure have attracted many researchers to study its impact on bank performance and cost of capital. In spite of the risk-based capital adequacy, regulatory and supervisory requirements set by Basel Accords, the financial crisis 2007, which causes instability and turmoil in the whole banking sector, was induced mainly by weak risk management measures, such as stress testing and other risk management tools that were unable to forecast the losses and the adverse unexpected outcomes and determine the size of capital needed to overcome severe shocks.

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Section: International Journal Of Accounting and Financial Reportingmentioning

confidence: 99%

The Financial Crisis, Basel Accords and Bank Regulations: An Overview

ElBannan

2017

ijafr

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“…BCBS (2010b), Angelini et al (2011), Hanson et al (2011), Miles et al (2011, Slovik and Cournède (2011) and Elliott et al (2012)). Their findings, however, are generally quite dependent on their approach and underlying assumptions.…”

Section: Comparison With International Evidencementioning

confidence: 99%

“…The model includes empirical relationships between several real and financial variables, including those between house prices and credit to households, and between banks' capital adequacy ratio and lending rates. The latter relationship is among the novel features of this model, as an explicit account of capital requirements in macroeconometric models is rare (see BCBS (2010b), Angelini et al (2011) and the references therein). To my knowledge, this is the first 1 Basel III also entails more stringent requirements for the level of and the quality of bank's core capital.…”

Section: Introductionmentioning

confidence: 99%

Macro effects of capital requirements and macroprudential policy

Akram¹

2014

Economic Modelling

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Working papers fra Norges Bank, fra 1992/1 til 2009/2 kan bestilles over e-post: servicesenter@norges-bank.no Fra 1999 og senere er publikasjonene tilgjengelige på www.norges-bank.no Working papers inneholder forskningsarbeider og utredninger som vanligvis ikke har fått sin endelige form. Hensikten er blant annet at forfatteren kan motta kommentarer fra kolleger og andre interesserte. Synspunkter og konklusjoner i arbeidene står for forfatternes regning.Working papers from Norges Bank, from 1992/1 to 2009/2 can be ordered by e-mail: servicesenter@norges-bank.no Working papers from 1999 onwards are available on www.norges-bank.no Norges Bank's working papers present research projects and reports (not usually in their final form) and are intended inter alia to enable the author to benefit from the comments of colleagues and other interested parties. Views and conclusions expressed in working papers are the responsibility of the authors alone. Basel III are found to have significant effects especially on house prices and credit. I also derive optimal paths for the countercyclical capital buffer in response to various shocks. The buffer is found to equal its imposed ceiling of 2.5% in response to most of the shocks considered while its duration varies in the range of 1-12 quarters depending on the shock and its persistence.

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“…Funke and Paetz (2012) examine LTV rules in a New Keynesian model for Hong Kong and argue that a non-linear rule, responding only to very high changes in property prices performs better than a standard Taylor-like one. Based on experiments with three macroeconomic models, Angelini et al (2011) report substantial stabilization gains from a countercyclical CA rule introduced by the Basel III reform package. Christensen et al (2011) develop a DSGE model with banks and bank capital, finding desirable stabilization properties of countercyclical bank leverage regulation in response to financial shocks and a lower efficiency of such a rule after technology shocks.…”

Section: Introductionmentioning

confidence: 99%

Macroprudential policy and imbalances in the euro area

Brzoza‐Brzezina

Kolasa

Makarski

2015

Journal of International Money and Finance

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Since its creation the euro area suffered from imbalances between its core and peripheral members. This paper checks whether macroprudential policy applied to the peripheral countries could contribute to providing more macroeconomic stability in this region. To this end we build a two-economy macrofinancial DSGE model and simulate the effects of macroprudential policies under the assumption of asymmetric shocks hitting the core and the periphery. We find that macroprudential policy is able to partly make up for the loss of independent monetary policy in the periphery. Moreover, LTV policy seems more efficient than regulating capital adequacy ratios. However, for the policies to be effective, they must be decentralized. Area-wide policy is almost ineffective in this respect. JEL: E32, E44, E58

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Basel III: Long-Term Impact on Economic Performance and Fluctuations

Cited by 47 publications

References 16 publications

The Financial Crisis, Basel Accords and Bank Regulations: An Overview

The Financial Crisis, Basel Accords and Bank Regulations: An Overview

Macro effects of capital requirements and macroprudential policy

Macroprudential policy and imbalances in the euro area

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