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Banks' regulatory buffers, liquidity networks and monetary policy transmission

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  • Merkl, Christian
  • Stolz, Stéphanie

Abstract

Based on a quarterly regulatory dataset for German banks from 1999 to 2004, this paper analyzes the effects of banks’ regulatory capital on the transmission of monetary policy in a system of liquidity networks. The dynamic panel regression results provide evidence in favor of the bank capital channel theory. Banks holding less regulatory capital and less interbank liquidity react more restrictively to a monetary tightening than their peers. --

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Bibliographic Info

Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 2: Banking and Financial Studies with number 2006,06.

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Date of creation: 2006
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Handle: RePEc:zbw:bubdp2:4771

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Keywords: Monetary policy transmission; Bank lending channel; Bank capital channel; Liquidity networks;

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References

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Citations

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Cited by:
  1. Philipp Engler & Terhi Jokipii & Christian Merkl & Pablo Rovira Kaltwasser & Lúcio Vinhas de Souza, 2007. "The effect of capital requirement regulation on the transmission of monetary policy: evidence from Austria," Empirica, Springer, vol. 34(5), pages 411-425, December.
  2. Holl, Dorothee & Schertler, Andrea, 2009. "Why do savings banks transform sight deposits into illiquid assets less intensively than the regulation allows?," Discussion Paper Series 2: Banking and Financial Studies 2009,05, Deutsche Bundesbank, Research Centre.
  3. Buch, Claudia M. & Prieto, Esteban, 2012. "Do better capitalized banks lend less? Long-run panel evidence from Germany," University of Tuebingen Working Papers in Economics and Finance 37, University of Tuebingen, Faculty of Economics and Social Sciences.
  4. Vítor Castro, 2012. "Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI," NIPE Working Papers 11/2012, NIPE - Universidade do Minho.
  5. Dimitrios P. Louzis & Aggelos T. Vouldis & Vasilios L. Metaxas, 2010. "Macroeconomic and bank-specific determinants of non-performing loans in Greece: a comparative study of mortgage, business and consumer loan portfolios," Working Papers 118, Bank of Greece.

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