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Is Bank Capital Procyclical? A Cross-Country Analysis

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Author Info

  • Jacob A. Bikker

    (De Nederlandsche Bank, Supervisory Policy Division, Strategy Department, P.O. Box 98, NL–1000 AB Amsterdam/Niederlande)

  • Paul A. J. Metzemakers

    (De Nederlandsche Bank, Supervisory Policy Division, Strategy Department, P.O. Box 98, NL–1000 AB Amsterdam/Niederlande)

Abstract

In diesem Artikel werden die Bestimmungsfaktoren für die internen Eigenkapitalziele von Geschäftsbanken sowie die potenzielle Sensitivität der unterschiedlichen Kapitalhöhen im Konjunkturzyklus untersucht. Weltweit erhobene Daten zeigen klar, dass das Eigenrisiko der Banken nur geringfügig vom Konjunkturzyklus beeinflusst wird. Die Banken neigen dazu, über das für die Unterlegung mit Eigenmitteln erforderliche Mindestkapital hinaus weiteres Pufferkapital in substanzieller Höhe zu halten, woraus hervorgeht, dass sie Kapital auch für Zwecke halten, die nicht ausschließlich der strengen Einhaltung der Bestimmungen über die Unterlegung mit Eigenmitteln dienen. Diese Daten legen die Vermutung nahe, dass die derzeitigen Kapitalhöhen gemäß dem neuen risikosensitiven Basel-II-Regime nicht wesentlich stärker prozyklisch wirken dürfen. Jedoch kombiniert eine Reihe von insbesondere kleineren Banken relativ stark risikobehaftete Portfolios mit Pufferkapital in begrenzter Höhe. Ein stärker risikosensitives Regime für die Unterlegung von Krediten mit Eigenmitteln könnte diese Banken dazu zwingen, höhere Eigenmittel vorzusehen, wodurch deren Wirkung stärker prozyklisch sein würde.

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Bibliographic Info

Article provided by Credit and Capital Markets in its journal Kredit und Kapital.

Volume (Year): 40 (2007)
Issue (Month): 2 ()
Pages: 225-264

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Handle: RePEc:kuk:journl:v:40:y:2007:i:2:p:225-264

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Web page: http://www.credit-and-capital-markets.de/

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References

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  1. Dimitrios P Tsomocos & Eva Catarineu-Rabell, 2003. "Procyclicality and the new Basel Accord - Banks` choice of loan rating system," Economics Series Working Papers 2003-FE-06, University of Oxford, Department of Economics.
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Citations

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Cited by:
  1. Jokipii, Terhi & Milne, Alistair, 2007. "The Cyclical Behaviour of European Bank Capital Buffers," SIFR Research Report Series, Institute for Financial Research 56, Institute for Financial Research.
  2. Repullo, Rafael & Suarez, Javier, 2008. "The Procyclical Effects of Basel II," CEPR Discussion Papers 6862, C.E.P.R. Discussion Papers.
  3. Pierre-Richard Agénor & Luiz A. Pereira da Silva, 2011. "Cyclical Effects of Bank Capital Requirements with Imperfect Credit Markets," Working Papers Series, Central Bank of Brazil, Research Department 234, Central Bank of Brazil, Research Department.
  4. Matthieu Darracq Pariès & Christoffer Kok Sørensen & Diego Rodriguez-Palenzuela, 2011. "Macroeconomic Propagation under Different Regulatory Regimes: Evidence from an Estimated DSGE Model for the Euro Area," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 7(4), pages 49-113, December.
  5. Andersen, Henrik, 2011. "Procyclical implications of Basel II: Can the cyclicality of capital requirements be contained?," Journal of Financial Stability, Elsevier, vol. 7(3), pages 138-154, August.
  6. Coffinet, Jérôme & Coudert, Virginie & Pop, Adrian & Pouvelle, Cyril, 2012. "Two-way interplays between capital buffers and credit growth: Evidence from French banks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1110-1125.
  7. Etienne Bordeleau & Allan Crawford & Christopher Graham, 2009. "Regulatory Constraints on Bank Leverage: Issues and Lessons from the Canadian Experience," Discussion Papers 09-15, Bank of Canada.
  8. Francesco D'Arack & Sandrine Levasseur, 2007. "The Determinants of Capital Buffers in CEECs," Sciences Po publications N°2007-28, Sciences Po.
  9. Memmel, Christoph & Raupach, Peter, 2010. "How do banks adjust their capital ratios?," Journal of Financial Intermediation, Elsevier, vol. 19(4), pages 509-528, October.
  10. Isabelle Distinguin & Caroline Roulet & Amine Tarazi, 2012. "Bank regulatory Capital Buffer and Liquidity: Evidence from US and European Publicly Traded Banks," Working Papers hal-00918468, HAL.
  11. A. R. Fonseca & F. González & L. Pereira da Silva, 2010. "Cyclical Effects of Bank Capital Buffers with Imperfect Credit Markets: international evidence," Working Papers Series, Central Bank of Brazil, Research Department 216, Central Bank of Brazil, Research Department.
  12. Jokivuolle , Esa & Peura , Samu, 2006. "Rating targeting and the confidence levels implicit in bank capital," Research Discussion Papers 27/2006, Bank of Finland.
  13. Distinguin, Isabelle & Roulet, Caroline & Tarazi, Amine, 2013. "Bank regulatory capital and liquidity: Evidence from US and European publicly traded banks," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3295-3317.
  14. Haibin Zhu, 2007. "Capital regulation and banks' financial decisions," BIS Working Papers 232, Bank for International Settlements.
  15. Haibin Zhu, 2008. "Capital Regulation and Banks' Financial Decisions," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 4(1), pages 165-211, March.
  16. Heid, Frank, 2007. "The cyclical effects of the Basel II capital requirements," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3885-3900, December.

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