A Quantitative Analysis of Countercyclical Capital Buffers
What are the quantitative effects of countercyclical capital buffers (CCyB)? I study this question in the context of a nonlinear DSGE model with a financial sector that is subject to [...]
The Impact of Capital Requirements on Bank Lending
We estimate the effect of changes in microprudential regulatory capital requirements on bank capital ratios and bank lending. We do so by running panel regressions using a rich new data [...]
Liability Holding Companies
While excessive bank debt can impose overwhelming costs on the broader economy, some contend that there may be some benefits from debt for a firm’s corporate governance. In particular, some [...]
Financial Regulation Reform: Politics, Implementation and Alternatives
Anat Admati argues that the banking system is too fragile and inefficient, and that reform efforts have been flawed. The fragility of the system causes booms and busts, and busts [...]
Liquidity Risk, Liquidity Creation and Financial Regulation: A Theory of Banking
Both investors and borrowers are concerned about liquidity. Investors desire liquidity because they are uncertain about when they will want to eliminate their holding of a financial asset. Borrowers are [...]
A Model of Competition in Banking: Bank Capital vs Expertise
This paper presents a model of competition in the banking industry based upon the interplay of two factors: the level of capitalization of banks and their ability to monitor different [...]
The Three Pillars of Basel II: Optimizing the Mix in a Continuous-time Model
The on-going reform of the Basel Accord relies on three “pillars”: capital adequacy requirements, centralized supervision and market discipline. This article develops a simple continuous-time model of commercial banks’ behavior [...]
Market Forces at Work in the Banking Industry: Evidence from the Capital Buildup of the 1990s
We document the build-up of regulatory and market equity capital in large U.S. bank holding companies between 1986 and 2000. During this time, large banking firms raised their capital ratios [...]
International Banking Regulation: Where’s the Market Discipline in Basel II?
In 1988 the Basel Committee on Banking Supervision completed the Basel Capital Accord, which set risk-weighted minimum capital standards for internationally active banks. The accord, which has been adopted by [...]
Competition and Entry in Banking: Implications for Stability and Capital Regulation
We assess the influence of competition and capital regulation on the stability of the banking system. We particularly ask two questions: i) how does capital regulation affect (endogenous) entry; and [...]