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Is Bank Capital Procyclical? A Cross-Country Analysis

  • 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)

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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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
Contact details of provider: Web page: http://www.credit-and-capital-markets.de/

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  1. Eva Catarineu-Rabell & Patricia Jackson & Dimitrios P. Tsomocos, 2003. "Procyclicality and the new Basel Accord–banks’ choice of loan rating system," LSE Research Online Documents on Economics 24863, London School of Economics and Political Science, LSE Library.
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