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  1. Basel III and bank-lending
    evidence from the United States and Europe
    Author: Ben Naceur, Samy; Roulet, Caroline
    Published: November 2017
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Using data on commercial banks in the United States and Europe, this paper analyses the impact of the new Basel III capital and liquidity regulation on bank-lending following the 2008 financial crisis. We find that U.S. banks reinforce their risk... more

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    Using data on commercial banks in the United States and Europe, this paper analyses the impact of the new Basel III capital and liquidity regulation on bank-lending following the 2008 financial crisis. We find that U.S. banks reinforce their risk absorption capacities when expanding their credit activities. Capital ratios have significant, negative impacts on bank-retail-and-other-lending-growth for large European banks in the context of deleveraging and the 'credit crunch' in Europe over the post-2008 financial crisis period. Additionally, liquidity indicators have positive but perverse effects on bank-lending-growth, which supports the need to consider heterogeneous banks' characteristics and behaviors when implementing new regulatory policies

     
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  2. Is post-crisis bond liquidity lower?
    Author: Anderson, Mike; Stulz, René M.
    Published: [2017]
    Publisher:  The Ohio State University, Fisher College of Business, Charles A. Dice Center for Research in Financial Economics, [Columbus, Ohio]

    Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for large investment grade bond trades, relative to before the crisis, and are better for all bond types and trade sizes relative to... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for large investment grade bond trades, relative to before the crisis, and are better for all bond types and trade sizes relative to 2010-2012. This evidence contrasts with the widely-held view among practitioners that liquidity has worsened. However, turnover falls sharply after the crisis compared to before the crisis, which is consistent with investors having more difficulty completing trades on acceptable terms and supports the practitioner view. A frequent concern is that post-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield increases, and downgrades to high yield. We find evidence that liquidity is lower after the crisis for extreme VIX increases. However, we find no evidence that liquidity is worse for idiosyncratic stress events after the crisis than before the crisis. Our results emphasize the importance of considering how liquidity reacts to shocks which can affect financial stability and of taking into account the information from non-price liquidity metrics

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Working papers series / Charles A. Dice Center for Research in Financial Economics ; WP 2017, 09
    Fisher College of Business Working Paper ; No. 2017-03-009
    Fisher College of Business working paper series ; WP 2017-03-009
    Subjects: Bond liquidity; Basel III; regulation; price pressure; bond turnover; bond effective spread
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  3. Implications for banking stability and welfare under capital shocks and countercyclical requirements
    Author: Bekiros, Stelios; Nilavongse, Rachatar; Uddin, Mohammed Gazi Salah
    Published: [2017]
    Publisher:  European University Institute, Badia Fiesolana, Italy

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 38 (2017,6)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 1814/47504
    Series: EUI working papers ; ECO 2017, 06
    Subjects: Banking Stability; Basel III; Capital Requirements; News Shocks; Welfare Analysis
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  4. The impacts of financial regulations
    solvency and liquidity in the post-crisis period
    Author: Baker, Colleen; Cumming, Christine M.; Jagtiani, Julapa
    Published: April 18, 2017
    Publisher:  Research Department, Federal Reserve Bank of Philadelphia, Philadelphia, PA

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Research Department, Federal Reserve Bank of Philadelphia ; no. 17, 10
    Subjects: bank capital regulations; bank liquidity; CET1; high-quality liquid assets (HQLAs); Basel III; Dodd–Frank Act; financial stability
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen