Capital Adequacy Rules and the Risk-Seeking Behavior of Banks: A Firm-Level Analysis
AbstractEconomic theory is unclear on the effects of capital regulation on the risk-seeking behavior of banks. This paper attempts to shed light on the issue by examining the impact of the implementation of the guidelines of the 1988 Basle Capital Accord on a large sample of individual banks drawn from the signatory countries. The empirical methodology is based on the call option interpretation of firm equity stemming from BLACK/SCHOLES. The results provide little evidence that the implementation of the Basle guidelines increased the probability of bank failure.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Swiss Society of Economics and Statistics (SSES) in its journal Swiss Journal of Economics and Statistics.
Volume (Year): 132 (1996)
Issue (Month): IV (December)
Contact details of provider:
Postal: c/o SNB/BNS, Börsenstrasse 15, PO Box 2800, CH-8022 Zürich
Phone: +41 (0)44 631 32 34
Fax: +41 (0)44 631 39 01
Web page: http://www.sjes.ch
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Frederick T. Furlong & Michael C. Keeley, 1987. "Bank capital regulation and asset risk," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 20-40.
- Steven R. Renadier & Brian J. Hall, 1995. "Risk-Based Capital Standards and the Riskiness of Bank Portfolios: Credit and Factor Risks," Harvard Institute of Economic Research Working Papers 1718, Harvard - Institute of Economic Research.
- Steven R. Grenadier & Brian J. Hall, 1995. "Risk-Based Capital Standards and the Riskiness of Bank Portfolios: Credit and Factor Risks," NBER Working Papers 5178, National Bureau of Economic Research, Inc.
- Frederick T. Furlong, 1988. "Changes in bank risk," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue mar25.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- Stéphanie Stolz, 2002. "The Relationship between Bank Capital, Risk-Taking, and Capital Regulation: A Review of the Literature," Kiel Working Papers 1105, Kiel Institute for the World Economy.
- Kirstein, Roland, 2000.
"The New Basle Accord, Internal Ratings, and the Incentives of Banks,"
CSLE Discussion Paper Series
2000-06, Saarland University, CSLE - Center for the Study of Law and Economics.
- Kirstein, Roland, 2002. "The new Basle Accord, internal ratings, and the incentives of banks," International Review of Law and Economics, Elsevier, vol. 21(4), pages 393-412, May.
- David VanHoose, 2006. "Bank Behavior Under Capital Regulation: What Does The Academic Literature Tell Us?," NFI Working Papers 2006-WP-04, Indiana State University, Scott College of Business, Networks Financial Institute.
- G. Dionne & T. M. Harchaoui, 2002. "Banks’ Capital, Securitization and Credit Risk : An Empirical Evidence for Canada," THEMA Working Papers 2002-33, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Dionne, Georges & Harchaoui, Tarek M., 2003. "Banks' Capital, Securitization and Credit Risk: An Empirical for Canada," Cahiers de recherche 0311, CIRPEE.
- Jiang Cheng & Mary A. Weiss, 2011. "The Role of RBC, Hurricane Exposure, Bond Portfolio Duration, and Macroeconomic and Industry-wide Factors in Property-Liability Insolvency Prediction," NFI Working Papers 2011-WP-17, Indiana State University, Scott College of Business, Networks Financial Institute.
- Jiang Cheng & Mary A. Weiss, 2011. "The Regulatory Effect of Risk-Based Capital in Property-Liability Insurance," NFI Working Papers 2011-WP-20, Indiana State University, Scott College of Business, Networks Financial Institute.
- Franz R. Hahn, . "Macroprudential Financial Regulation and Monetary Policy," WIFO Working Papers 154, WIFO.
- Rime, Bertrand, 2001. "Capital requirements and bank behaviour: Empirical evidence for Switzerland," Journal of Banking & Finance, Elsevier, vol. 25(4), pages 789-805, April.
- Dionne, Georges & Harchaoui, Tarek, 2007. "Bank Capital, Securitization and Credit Risk: an Empirical Evidence," MPRA Paper 56693, University Library of Munich, Germany, revised 2007.
- Christian Braun, 2001. "The cost of a guarantee for bank liabilities: revisiting Merton," BIS Papers chapters, in: Bank for International Settlements (ed.), Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 354-366 Bank for International Settlements.
- Leonardo Gambacorta & Paolo Emilio Mistrulli, 2003. "Bank Capital and Lending Behaviour: Empirical Evidence for Italy," Temi di discussione (Economic working papers) 486, Bank of Italy, Economic Research and International Relations Area.
- Bertrand Rime, 2000. "Bank Capital Behaviour: Empirical Evidence for Switzerland," Working Papers 00.05, Swiss National Bank, Study Center Gerzensee.
- M. Kabir Hassan & M. Ershad Hussain, 2006. "Basel II and Bank Credit Risk: Evidence from the Emerging Markets," NFI Working Papers 2006-WP-10, Indiana State University, Scott College of Business, Networks Financial Institute.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Steiner).
If references are entirely missing, you can add them using this form.