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The G-20 regulatory agenda and bank risk

Author

Listed:
  • Matías Cabrera

    (BBVA Research)

  • Gerald P. Dwyer

    (Clemson University, Clemson SC)

  • María J. Nieto

    (Banco de España)

Abstract

Using international listed banks from the United States, Europe, Japan and China from 2004 to 2014, we analyse the effect on bank risk of some of the most relevant new elements of the prudential regulatory framework proposed in the wake of the Great Financial Crisis. We measure risk by a market measure, namely the volatility of banks’ stock returns. We also examine the effect of government support during the financial crisis and of designation as a G-SIB. We find little support for an association with government support and none for a negative relationship. We find support for a positive effect of designation as a G-SIB on risk. We find a positive association with securities trading and a negative association with capital. Banks’ chosen liquidity is unimportant for this measure of risk.

Suggested Citation

  • Matías Cabrera & Gerald P. Dwyer & María J. Nieto, 2018. "The G-20 regulatory agenda and bank risk," Working Papers 1829, Banco de España.
    • Handle: RePEc:bde:wpaper:1829
    as

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    References listed on IDEAS

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    Cited by:

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    More about this item

    Keywords

    banks; regulation; financial crisis.;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
    • G01 - Financial Economics - - General - - - Financial Crises

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