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Interakce kapitálové a likviditní regulace v bankovním sektoru
[Interaction of Capital and Liquidity Regulation in the Banking Sector]

Author

Listed:
  • Lukáš Pfeifer
  • Libor Holub
  • Zdeněk Pikhart
  • Martin Hodula

Abstract

Basel III responded to the financial crisis among other by redefining and expanding the capital requirements and by introduction of the liquidity requirements in the banking sector. Since banks' liquidity and capital positions influence each other through assets structure channel, asset quality channel and profitability channel, there exists a significant relationship among capital and liquidity regulatory tools. A bank can improve its capital and liquidity ratios by lowering risk-weighted assets (assets structure channel), but with the negative impact on the interest profit (profitability channel). We therefore aim to test the functionality of these two channels in relation to capital and liquidity positions in the Czech banking sector. We document the effect of the assets structure channel in case of liquidity and capital positions and effect of the profitability channel for the large banks. However, low profitability and introduction of a leverage ratio can limit the effect of assets structure channel on banks´ capital positions.

Suggested Citation

  • Lukáš Pfeifer & Libor Holub & Zdeněk Pikhart & Martin Hodula, 2017. "Interakce kapitálové a likviditní regulace v bankovním sektoru [Interaction of Capital and Liquidity Regulation in the Banking Sector]," Politická ekonomie, Prague University of Economics and Business, vol. 2017(5), pages 525-545.
    • Handle: RePEc:prg:jnlpol:v:2017:y:2017:i:5:id:1160:p:525-545
    DOI: 10.18267/j.polek.1160
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    References listed on IDEAS

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    1. David Miles & Jing Yang & Gilberto Marcheggiano, 2011. "Optimal Bank Capital," Discussion Papers 31, Monetary Policy Committee Unit, Bank of England.
    2. Helmut Lütkepohl, 2005. "New Introduction to Multiple Time Series Analysis," Springer Books, Springer, number 978-3-540-27752-1, June.
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    4. Patrick Slovik & Boris Cournède, 2011. "Macroeconomic Impact of Basel III," OECD Economics Department Working Papers 844, OECD Publishing.
    5. David Miles & Jing Yang & Gilberto Marcheggiano, 2013. "Optimal Bank Capital," Economic Journal, Royal Economic Society, vol. 123(567), pages 1-37, March.
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    Keywords

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    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G2 - Financial Economics - - Financial Institutions and Services

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