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Is Bank Capital Procyclical? A Cross-Country Analysis

Author

Listed:
  • 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.

Suggested Citation

  • Jacob A. Bikker & Paul A. J. Metzemakers, 2007. "Is Bank Capital Procyclical? A Cross-Country Analysis," Credit and Capital Markets, Credit and Capital Markets, vol. 40(2), pages 225-264.
  • Handle: RePEc:kuk:journl:v:40:y:2007:i:2:p:225-264
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    Cited by:

    1. Francesco D'Arack & Sandrine Levasseur, 2007. "The Determinants of Capital Buffers in CEECs," Sciences Po publications N°2007-28, Sciences Po.
    2. Repullo, Rafael & Suarez, Javier, 2008. "The Procyclical Effects of Basel II," CEPR Discussion Papers 6862, C.E.P.R. Discussion Papers.
    3. 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.
    4. Jokipii, Terhi & Milne, Alistair, 2008. "The cyclical behaviour of European bank capital buffers," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1440-1451, August.
    5. Rafael Repullo & Javier Suarez, 2013. "The Procyclical Effects of Bank Capital Regulation," Review of Financial Studies, Society for Financial Studies, vol. 26(2), pages 452-490.
    6. 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, vol. 7(4), pages 49-113, December.
    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. Huang, Xian & Xiong, Qiyue, 2015. "Bank capital buffer decisions under macroeconomic fluctuations: Evidence for the banking industry of China," International Review of Economics & Finance, Elsevier, vol. 36(C), pages 30-39.
    9. Balázs Égert & Douglas Sutherland, 2014. "The Nature of Financial and Real Business Cycles: The Great Moderation and Banking Sector Pro-Cyclicality," Scottish Journal of Political Economy, Scottish Economic Society, vol. 61(1), pages 98-117, February.
    10. Henrik Andersen, 2009. "Norwegian banks in a recession: Procyclical implications of Basel II," Working Paper 2009/04, Norges Bank.
    11. Agénor, Pierre-Richard & Pereira da Silva, Luiz A., 2012. "Cyclical effects of bank capital requirements with imperfect credit markets," Journal of Financial Stability, Elsevier, vol. 8(1), pages 43-56.
    12. Giacomo Carboni & Christoffer Kok & Matthieu Darrak Paries, 2014. "Exploring the Nexus Between Macro-Prudential Policies and Monetary Policy Measures: Evidence from an Estimated DSGE Model for the Euro Area," Working Papers BFI_2013-005, Becker Friedman Institute for Research In Economics.
    13. Heid, Frank, 2007. "The cyclical effects of the Basel II capital requirements," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3885-3900, December.
    14. 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.
    15. repec:ipf:finteo:v:39:y:2015:i:3:p:139-169 is not listed on IDEAS
    16. Haibin Zhu, 2008. "Capital Regulation and Banks' Financial Decisions," International Journal of Central Banking, International Journal of Central Banking, vol. 4(1), pages 165-211, March.
    17. Jokivuolle, Esa & Peura, Samu, 2006. "Rating targeting and the confidence levels implicit in bank capital," Research Discussion Papers 27/2006, Bank of Finland.
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    19. Haibin Zhu, 2007. "Capital regulation and banks' financial decisions," BIS Working Papers 232, Bank for International Settlements.
    20. 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.
    21. Memmel, Christoph & Raupach, Peter, 2010. "How do banks adjust their capital ratios?," Journal of Financial Intermediation, Elsevier, vol. 19(4), pages 509-528, October.
    22. Ana Kundid Novokmet, 2015. "Cyclicality of bank capital buffers in South-Eastern Europe: endogenous and exogenous aspects," Financial Theory and Practice, Institute of Public Finance, vol. 39(2), pages 139-169.
    23. 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.
    24. Carvallo Valencia, Oscar Alfonso & Ortiz Bolaños, Alberto, 2018. "Bank capital buffers around the world: Cyclical patterns and the effect of market power," MPRA Paper 84617, University Library of Munich, Germany.
    25. Carvallo, Oscar & Kasman, Adnan & Kontbay-Busun, Sine, 2015. "The Latin American bank capital buffers and business cycle: Are they pro-cyclical?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 148-160.

    More about this item

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies

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