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Citations for "The cyclical behavior of optimal bank capital"

by Estrella, Arturo

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  1. Ghosh, Saibal, 2008. "Capital requirements, bank behavior and monetary policy: A theoretical analysis with an empirical application to India," MPRA Paper 17306, University Library of Munich, Germany.
  2. Bernd Hofmann, 2005. "Procyclicality: The Macroeconomic Impact of Risk-Based Capital Requirements," Financial Markets and Portfolio Management, Springer, vol. 19(2), pages 179-200, August.
  3. 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.
  4. Carling, Kenneth & Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2002. "Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy," Working Paper Series 142, Sveriges Riksbank (Central Bank of Sweden).
  5. Karmakar, Sudipto & Mok, Junghwan, 2015. "Bank capital and lending: An analysis of commercial banks in the United States," Economics Letters, Elsevier, vol. 128(C), pages 21-24.
  6. Ralph Chami & Thomas F. Cosimano, 2001. "Monetary Policy with a touch of Basel," IMF Working Papers 01/151, International Monetary Fund.
  7. Adolfo Barajas & Ralph Chami & Thomas Cosimano, 2004. "Did the Basel Accord Cause a Credit Slowdown in Latin America?," ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, vol. 0(Fall 2004), pages 135-182, August.
  8. Jacobson, Tor & Linde, Jesper & Roszbach, Kasper, 2006. "Internal ratings systems, implied credit risk and the consistency of banks' risk classification policies," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 1899-1926, July.
  9. Repullo, Rafael & Suarez, Javier, 2012. "The Procyclical Effects of Bank Capital Regulation," CEPR Discussion Papers 8897, C.E.P.R. Discussion Papers.
  10. Gianni De Nicolo & Andrea Gamba & Marcella Lucchetta, 2012. "Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking," IMF Working Papers 12/72, International Monetary Fund.
  11. Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(2), pages 161-191, October.
  12. Albert, Jose Ramon G. & Schou-Zibell, Lotte & Song, Lei Lei, 2012. "A Macroprudential Framework for Monitoring and Examining Financial Soundness," Discussion Papers DP 2012-22, Philippine Institute for Development Studies.
  13. 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.
  14. Birgit Schmitz, 2007. "The impact of Basel I capital regulation on bank deposits and loans: Empirical evidence for Europe," Money Macro and Finance (MMF) Research Group Conference 2006 42, Money Macro and Finance Research Group.
  15. Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2004. "Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?," Working Paper Series 162, Sveriges Riksbank (Central Bank of Sweden).
  16. Varotto, Simone, 2012. "Stress testing credit risk: The Great Depression scenario," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3133-3149.
  17. Diemo Dietrich & Uwe Vollmer, 2004. "Why do banks hold capital in excess of regulatory requirements? A functional approach," Finance 0407006, EconWPA.
  18. Ghosh, Saibal, 2008. "Risk and capital adjustment over the business cycle: Evidence from Indian banks," MPRA Paper 22524, University Library of Munich, Germany.
  19. Papanikolaou, Nikolaos I. & Wolff, Christian C, 2015. "Does the CAMEL bank ratings system follow a procyclical pattern?," CEPR Discussion Papers 10965, C.E.P.R. Discussion Papers.
  20. Rafael Repullo & Javier Suarez, 2008. "The Procyclical Effects Of Basel Ii," Working Papers wp2008_0809, CEMFI.
  21. Abel Elizalde & Rafael Repullo, 2007. "Economic and Regulatory Capital in Banking: What Is the Difference?," International Journal of Central Banking, International Journal of Central Banking, vol. 3(3), pages 87-117, September.
  22. Paolo Tasca & Stefano Battiston, . "Market Procyclicality and Systemic Risk," Working Papers ETH-RC-12-012, ETH Zurich, Chair of Systems Design.
  23. Gianni De Nicolò & Andrea Gamba & Marcella Lucchetta, 2014. "Microprudential Regulation in a Dynamic Model of Banking," Review of Financial Studies, Society for Financial Studies, vol. 27(7), pages 2097-2138.
  24. Andrés Felipe García-Suaza & Jose Eduardo Gómez-González & Andrés Murcia pabón & Feenando tenjo Galarza, 2011. "The Cyclical Behavior of Bank Capital Buffers in an Emerging Economy: Size Does Matter," BORRADORES DE ECONOMIA 008305, BANCO DE LA REPÚBLICA.
  25. Ethan Cohen-Cole & Enrique Martinez-Garcia, 2008. "The balance sheet channel," Risk and Policy Analysis Unit Working Paper QAU08-7, Federal Reserve Bank of Boston.
  26. Goetz von Peter, 2004. "Asset Prices and Banking Distress: A Macroeconomic Approach," Finance 0411034, EconWPA.
  27. Kilponen, Juha & Milne, Alistair, 2007. "The lending channel under optimal choice of monetary policy," Research Discussion Papers 33/2007, Bank of Finland.
  28. Jaromir Benes & Michael Kumhof & Douglas Laxton, 2014. "Financial Crises in DSGE Models; A Prototype Model," IMF Working Papers 14/57, International Monetary Fund.
  29. Benes, Jaromir & Kumhof, Michael, 2015. "Risky bank lending and countercyclical capital buffers," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 58-80.
  30. Christoph Aymanns & Fabio Caccioli & J. Doyne Farmer & Vincent W. C. Tan, 2015. "Taming the Basel Leverage Cycle," Papers 1507.04136, arXiv.org.
  31. Koetter, Michael & Bos, Jaap W. B. & Heid, Frank & Kool, Clemens J. M. & Kolari, James W. & Porath, Daniel, 2005. "Accounting for distress in bank mergers," Discussion Paper Series 2: Banking and Financial Studies 2005,09, Deutsche Bundesbank, Research Centre.
  32. Angeloni, Ignazio & Faia, Ester & Lo Duca, Marco, 2013. "Monetary policy and risk taking," SAFE Working Paper Series 8, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  33. Corbae, Dean & D'Erasmo, Pablo, 2014. "Capital requirements in a quantitative model of banking industry dynamics," Working Papers 14-13, Federal Reserve Bank of Philadelphia.
  34. Martin Berka & Christian Zimmermann, 2012. "Basel Accord and Financial Intermediation: The Impact of Policy," Working Paper Series 04_12, The Rimini Centre for Economic Analysis.
  35. Gross, Marco & Kok, Christoffer & Żochowski, Dawid, 2016. "The impact of bank capital on economic activity - evidence from a mixed-cross-section GVAR model," Working Paper Series 1888, European Central Bank.
  36. Gordy, Michael B. & Howells, Bradley, 2006. "Procyclicality in Basel II: Can we treat the disease without killing the patient?," Journal of Financial Intermediation, Elsevier, vol. 15(3), pages 395-417, July.
  37. Selim Mankaï & Aymen Belgacem, 2013. "Interactions Between Risk-Taking, Capital, and Reinsurance for Property-Liability Insurance Firms," EconomiX Working Papers 2013-23, University of Paris West - Nanterre la Défense, EconomiX.
  38. Renee B. Adams & Hamid Mehran, 2003. "Is corporate governance different for bank holding companies?," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 123-142.
  39. Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "A new approach to the unconditional measurement of default risk," Documentos de Trabajo del ICAE 2014-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  40. Koopman, Siem Jan & Lucas, Andre & Klaassen, Pieter, 2005. "Empirical credit cycles and capital buffer formation," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3159-3179, December.
  41. Jokipii, Terhi & Milne, Alistair, 2006. "The cyclical behaviour of European bank capital buffers," Research Discussion Papers 17/2006, Bank of Finland.
  42. Jokipii, Terhi & Milne, Alistair, 2007. "The Cyclical Behaviour of European Bank Capital Buffers," SIFR Research Report Series 56, Institute for Financial Research.
  43. Olivier Bruno & Alexandra Girod, 2013. "Procyclicality and Bank Portfolio Risk Level under a Constant Leverage Ratio," GREDEG Working Papers 2013-35, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis.
  44. Borio, Claudio & Zhu, Haibin, 2012. "Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?," Journal of Financial Stability, Elsevier, vol. 8(4), pages 236-251.
  45. Juan Ayuso & Daniel Pérez & Jesús Saurina, 2002. "Are capital buffers pro-cyclical? Evidence from Spanish panel data," Working Papers 0224, Banco de España;Working Papers Homepage.
  46. Heid, Frank, 2007. "The cyclical effects of the Basel II capital requirements," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3885-3900, December.
  47. Clancy, Daragh & Merola, Rossana, 2014. "The effect of macroprudential policy on endogenous credit cycles," Research Technical Papers 15/RT/14, Central Bank of Ireland.
  48. Krainer, Robert E., 2014. "Monetary policy and bank lending in the Euro area: Is there a stock market channel or an interest rate channel?," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 283-298.
  49. Yilmaz, Ensar, 2009. "Capital accumulation and regulation," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 760-771, August.
  50. Arturo Estrella, 2004. "Bank Capital and Risk: Is Voluntary Disclosure Enough?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(2), pages 145-160, October.
  51. Krainer, Robert, 2009. "Portfolio and financing adjustments for U.S. banks: Some empirical evidence," Journal of Financial Stability, Elsevier, vol. 5(1), pages 1-24, January.
  52. Frömmel, Michael & Schmidt, Torsten, 2006. "Bank Lending and Asset Prices in the Euro Area," Hannover Economic Papers (HEP) dp-342, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  53. Olivier Bruno & Alexandra Girod, 2013. "Procyclicality and Bank Portfolio Risk Level Under A Constant Leverage Ratio," Working Papers halshs-01295573, HAL.
  54. Paraskevi Dimou & Colin Lawrence & Alistair Milne, 2005. "Skewness of Returns, Capital Adequacy, and Mortgage Lending," Journal of Financial Services Research, Springer;Western Finance Association, vol. 28(1), pages 135-161, October.
  55. Jaromir Benes & Michael Kumhof, 2011. "Risky Bank Lending and Optimal Capital Adequacy Regulation," IMF Working Papers 11/130, International Monetary Fund.
  56. Cohen-Cole, Ethan & Morse, Jonathan, 2010. "Monetary policy and capital regulation in the US and Europe," Working Paper Series 1222, European Central Bank.
  57. Kevin T. Jacques & Lakshmi Balasubramanyan, 2011. "Risk Weights in Regulatory Capital Standards: Is It Necessary to "Get It Right"?," NFI Working Papers 2011-WP-23, Indiana State University, Scott College of Business, Networks Financial Institute.
  58. Valerio Vacca, 2011. "An unexpected crisis? Looking at pricing effectiveness of different banks," Temi di discussione (Economic working papers) 814, Bank of Italy, Economic Research and International Relations Area.
  59. Stolz, Stéphanie & Wedow, Michael, 2005. "Banks' regulatory capital buffer and the business cycle: evidence for German savings and cooperative banks," Discussion Paper Series 2: Banking and Financial Studies 2005,07, Deutsche Bundesbank, Research Centre.
  60. Christoph Aymanns & Fabio Caccioli & J. Doyne Farmer & Vincent W.C. Tan, 2015. "Taming the Basel leverage cycle," LSE Research Online Documents on Economics 65089, London School of Economics and Political Science, LSE Library.
  61. David VanHoose, 2008. "Bank Capital Regulation, Economic Stability, and Monetary Policy: What Does the Academic Literature Tell Us?," Atlantic Economic Journal, International Atlantic Economic Society, vol. 36(1), pages 1-14, March.
  62. David VanHoose, 2006. "Bank Behavior Under Capital Regulation: What Does The Academic Literature Tell Us?," NFI Working Papers 2006-WP-04, Indiana State University, Scott College of Business, Networks Financial Institute.
  63. Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "Conditional coverage and its role in determining and assessing long-term capital requirements," Documentos de Trabajo del ICAE 2014-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  64. Lützenkirchen, Kristina & Rösch, Daniel & Scheule, Harald, 2013. "Ratings based capital adequacy for securitizations," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5236-5247.
  65. Marques Pereira, João André C. & Saito, Richard, 2015. "How banks respond to Central Bank supervision: Evidence from Brazil," Journal of Financial Stability, Elsevier, vol. 19(C), pages 22-30.
  66. Kilponen , Juha & Milne, Alistair, 2007. "The lending channel under optimal choice of monetary policy," Research Discussion Papers 33/2007, Bank of Finland.
  67. Kogler, Michael, 2015. "Rewarding Prudence: Risk Taking, Pecuniary Externalities and Optimal Bank Regulation," Economics Working Paper Series 1512, University of St. Gallen, School of Economics and Political Science.
  68. Niinimaki, J.-P., 2012. "Hidden loan losses, moral hazard and financial crises," Journal of Financial Stability, Elsevier, vol. 8(1), pages 1-14.
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