Bank Capital And Uncertainty
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Bank Capital And Uncertainty
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Author : Mr.Fabian Valencia
language : en
Publisher: International Monetary Fund
Release Date : 2010-09-01
Bank Capital And Uncertainty written by Mr.Fabian Valencia and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-09-01 with Business & Economics categories.
An important role for bank capital is that of a buffer against unexpected losses. As uncertainty about these losses increases, the theory predicts an increase in the optimal level of bank capital. This paper investigates this implication empirically with U.S. Commercial Banks data and finds statistically significant and robust evidence supporting it. A counterfactual experiment suggests that a decline in uncertainty to the lowest level measured in the sample generates an average reduction in bank capital ratios of slightly over 1 percentage point. However, I also find suggestive evidence that the intensity of this precautionary motive is stronger during recessions. From a policy perspective, these results suggest that the effectiveness of countercyclical capital requirements during bad times will be undermined by banks desire to hold more capital in response to increased uncertainty.
Aggregate Uncertainty And The Supply Of Credit
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Author : Mr.Fabian Valencia
language : en
Publisher: International Monetary Fund
Release Date : 2013-12-02
Aggregate Uncertainty And The Supply Of Credit written by Mr.Fabian Valencia and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-02 with Business & Economics categories.
Recent studies show that uncertainty shocks have quantitatively important effects on the real economy. This paper examines one particular channel at work: the supply of credit. It presents a model in which a bank, even if managed by risk-neutral shareholders and subject to limited liability, can exhibit self-insurance, and thus loan supply contracts when uncertainty increases. This prediction is tested with the universe of U.S. commercial banks over the period 1984-2010. Identification of credit supply is achieved by looking at the differential response of banks according to their level of capitalization. Consistent with the theoretical predictions, increases in uncertainty reduce the supply of credit, more so for banks with lower levels of capitalization. These results are weaker for large banks, and are robust to controlling for the lending and capital channels of monetary policy, to different measures of uncertainty, and to breaking the dataset in subsamples. Quantitatively, uncertainty shocks are almost as important as monetary policy ones with regards to the effects on the supply of credit.
Uncertainty And Investment
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Author : Sophia Chen
language : en
Publisher: International Monetary Fund
Release Date : 2015-03-20
Uncertainty And Investment written by Sophia Chen and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-03-20 with Business & Economics categories.
Rollover risk imposes market discipline on banks’ risk-taking behavior but it can be socially costly. I present a two-sided model in which a bank simultaneously lends to a firm and borrows from the short-term funding market. When the bank is capital constrained, uncertainty in asset quality and rollover risk create a negative externality that spills over to the real economy by ex ante credit contraction. Macroprudential and monetary policies can be used to reduce the social cost of market discipline and improve efficiency.
Managing Banking Risks
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Author : Eddie Cade
language : en
Publisher: Routledge
Release Date : 2013-11-26
Managing Banking Risks written by Eddie Cade and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-26 with Business & Economics categories.
Banking and financial services are some of the fastest-growing industries in the world's developed countries. As growth is spurred on by huge demand for new and improved services, bankers face the daunting and difficult challenges of reducing risks and uncertainty at a time of unprecedented innovation and prosperity. Managing Banking Risks fills a gap in banking literature by providing a professional and sophisticated risk planner--for bank directors, executives, and managers at every operational level. This important work covers the full range of banking risks that operation managers and executives need to understand--from liquidity risk to price risk to operating risk.
Uncertainty And Cross Border Banking Flows
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Author : Sangyup Choi
language : en
Publisher: International Monetary Fund
Release Date : 2018-01-05
Uncertainty And Cross Border Banking Flows written by Sangyup Choi and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-01-05 with Business & Economics categories.
While global uncertainty—measured by the VIX—has proven to be a robust global “push” factor of international capital flows, there has been no systematic study assessing the role of country-specific uncertainty as a key (pull and push) factor of international capital flows. This paper tries to fill this gap in the literature by examining the effects of country-specific uncertainty shocks on cross-border banking flows using the confidential Bank for International Settlements Locational Banking Statistics data. The dyadic structure of this data allows to disentangle supply and demand factors and to better identify the effect of uncertainty shocks on cross-border banking flows. The results of this analysis suggest that: (i) uncertainty is both a push and pull factor that robustly predicts a decrease in both outflows (retrenchment) and inflows (stops); (ii) global banks rebalance their lending towards safer foreign borrowers from local borrowers when facing higher uncertainty; (iii) this rebalancing occurs only towards advanced economies (flight to quality), but not emerging market economies.
Risk Based Capital
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Author : Orice M. Williams
language : en
Publisher: DIANE Publishing
Release Date : 2009-05
Risk Based Capital written by Orice M. Williams and has been published by DIANE Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-05 with Law categories.
Basel II, the new risk-based capital framework based on an international accord, is being adopted by individual countries. It includes standardized and advanced approaches to estimating capital requirements. In the U.S., bank regulators have finalized an advanced approach rule that will be required for some of the largest, most internationally active banks and proposed an optional standardized approach rule for non-core banks that will also have the option to remain on existing capital rules. This report examines: (1) the markets in which banks compete; (2) how new capital rules address U.S. banks' competitive concerns; and (3) actions regulators are taking to address competitive and other potential negative effects during implementation. Illus.
Money Information And Uncertainty
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Author : Charles Goodhart CBE
language : en
Publisher: Bloomsbury Publishing
Release Date : 1989-09-01
Money Information And Uncertainty written by Charles Goodhart CBE and has been published by Bloomsbury Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989-09-01 with Business & Economics categories.
This is a completely revised edition of the well-known monetary textbook. The book discusses the latest analytical developments in monetary economic theory in a comprehensible and practical policy- orientated form for graduates and undergraduates specialising in monetary economics. The book provides a comprehensive survey of monetary economics, with the first nine chapters primarily concerned with micro issues, such as the role of, and demand for, money, the role and functions of banks and of the Central Bank; and the final nine chapters covering macro-economic issues, such as the transmission mechanism of monetary policy and international monetary problems.
International Convergence Of Capital Measurement And Capital Standards
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Author :
language : en
Publisher: Lulu.com
Release Date : 2004
International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.
Usability Of Bank Capital Buffers The Role Of Market Expectations
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Author : José Abad
language : en
Publisher: International Monetary Fund
Release Date : 2022-01-28
Usability Of Bank Capital Buffers The Role Of Market Expectations written by José Abad and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-01-28 with Business & Economics categories.
Following the COVID shock, supervisors encouraged banks to use capital buffers to support the recovery. However, banks have been reluctant to do so. Provided the market expects a bank to rebuild its buffers, any draw-down will open up a capital shortfall that will weigh on its share price. Therefore, a bank will only decide to use its buffers if the value creation from a larger loan book offsets the costs associated with a capital shortfall. Using market expectations, we calibrate a framework for assessing the usability of buffers. Our results suggest that the cases in which the use of buffers make economic sense are rare in practice.
Investment Capital Market Imperfections And Uncertainty
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Author : Robert Lensink
language : en
Publisher: Edward Elgar Publishing
Release Date : 2001-01-01
Investment Capital Market Imperfections And Uncertainty written by Robert Lensink and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-01-01 with Business & Economics categories.
This book presents an up-to-date overview of the theory as well as the empirics of the relationship between investment, financial imperfections and uncertainty. After reviewing the capital market imperfections literature and the empirical results, the authors discuss both traditional investment models with uncertainty and the more modern option based models. They present an overview of empirical results of the modelling of investment under uncertainty. In these examples the effects of capital market imperfections on investment are carefully considered. The authors conclude that there is overwhelming empirical support for a negative uncertainty-investment relationship. This book should appeal to academics with an interest in investment theory, professionals in the financial sector and students of macroeconomics and finance. "Investment, Capital Market Imperfections, and Uncertainty" assumes only a basic knowledge of mathematics and is easily accessible.