BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Autor
Neuberger Doris (University of Rostock, Germany), Rissi Roger (Lucerne University of Applied Sciences and Arts, Switzerland)
Tytuł
Macroprudential Banking Regulation: Does One Size Fit All?
Źródło
Journal of Banking and Financial Economics, 2014, nr 1(1), s. 5-27, tab., aneks, bibliogr. s. 25-27
Słowa kluczowe
Regulacje bankowe, Stabilność finansowa, Ryzyko systemowe, System finansowy
Bank regulations, Financial sustainability, Systemic risk, Financial system
Uwagi
summ.
Abstrakt
The macroprudential regulatory framework of Basel III imposes the same minimum capital and liquidity requirements on all banks around the world to ensure global competitiveness of banks. Using an agent-based model of the financial system, we find that this is not a robust framework to achieve (inter)national financial stability, because efficient regulation has to embrace the economic structure and behaviour of financial market participants, which differ from country to country. Market-based financial systems do not profit from capital and liquidity regulations, but from a ban on proprietary trading (Volcker rule). In homogeneous or bank-based financial systems, the most effective regulatory policy to ensure financial stability depends on the stability measure used. Irrespective of financial system architecture, direct restrictions of banks' investment portfolios are more effective than indirect restrictions through capital, leverage and liquidity regulations. Applying the model to the Swiss financial system, we find that increasing regulatory complexity excessively has destabilizing effects.These results highlight for the first time a necessary change in the regulatory paradigm to ensure the effectiveness and efficiency of financial regulations with regards to fostering the resilience of the financial system. (original abstract)
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Admati A.R., DeMarzo P.M., Hellwig M.F., Pfleiderer P.C. (2011) Fallacies, irrelevant facts, and myths in the discussion of capital regulation: why bank equity is not expensive. Rock Center for Corporate Governance at Stanford University Working Paper No. 86; MPI Collective Goods Preprint, No. 2010/42. doi.org/10.2139/ssrn.1669704
  2. Aghion P., Bolton P., Dewatripont M. (2000) Contagious bank failures in a free banking system. European Economic Review 44, pp. 713-718. doi.org/10.1016/S0014-2921(00)00058-1
  3. Allen F., Gale D. (1995) A welfare comparison of intermediaries and financial markets in Germany and the US. European Economic Review 39, pp. 179-209. doi.org/10.1016/0014-2921(94)00095-H
  4. Allen F., Gale D. (1999) Diversity of opinion and financing of new technologies. Journal of Financial Intermediation 8, pp. 68-89. doi.org/10.1006/jfin.1999.0261
  5. Allen F., Gale D. (2000) Comparing Financial Systems. MIT Press, Cambridge, MA
  6. Baltensperger E. (1980) Alternative approaches to the theory of the banking firm. Journal of Monetary Economics 6, pp. 1-37. doi.org/10.1016/0304-3932(80)90016-1
  7. Bandt O., Hartmann P., Peydró J.-L. (2010) Systemic Risk in Banking: An Update. The Oxford Handbook of Banking, Oxford University Press, UK. doi.org/10.1093/oxfordhb/9780199640935.013.0025
  8. Barth J.R., Caprio G. Jr., Levine R. (2004) Bank regulation and supervision: what works best? Journal of Financial Intermediation 13, pp. 205-248. doi.org/10.1016/j.jfi.2003.06.002
  9. BCBS (2010) Basel III: A global regulatory framework for more resilient banks and banking systems. Basel Committee on Banking Supervision, Bank for International Settlements.
  10. Beck T., Demirgüç-Kunt A. (2009) Financial institutions and markets across countries and over time: data and analysis. World Bank Policy Research Working Paper No. 4943.
  11. Beck T., Levine R. (2002) Industry growth and capital allocation: Does having a market or bank based system matter? Journal of Financial Economics 64, pp. 147-180. doi.org/10.1016/S0304-405X(02)00074-0
  12. Bezemer D.J. (2011) Causes of financial instability: don't forget finance. Levy Economics Institute Working Paper No. 665. doi.org/10.2139/ssrn.1808020
  13. Bichsel R., Blum J. (2004) The relationship between risk and capital in Swiss commercial banks: a panel study. Applied Financial Economics 14, pp. 591-597. doi.org/10.1080/0960310042000233881
  14. Blum J.M. (2008) Why Basel II may need a leverage ratio restriction. Journal of Banking and Finance 32, pp. 1699-1707. doi.org/10.1016/j.jbankfin.2007.12.003
  15. Boot A.W., Thakor A.V. (1997) Financial system architecture. Review of Financial Studies 10, pp. 693-733. doi.org/10.1093/rfs/10.3.693
  16. Bouchaud J.-P. (2008) Economics needs a scientific revolution. Nature 455, p. 1181.
  17. Brinkmann U. (2007) Robuste Asset Allokation. Uhlenbruch Verlag, Bad Soden.
  18. Cihak M. (2006) How do central banks write on financial stability? IMF Working Paper No. 06/133, Washington: International Monetary Fund.
  19. Deidda L., Fattouh B. (2008) Banks, financial markets and growth. Journal of Financial Intermediation 17, pp. 6-36. doi.org/10.1016/j.jfi.2006.04.003
  20. Degryse H., Nguyen G. (2007) Interbank exposures: an empirical examination of systemic risk in the Belgian banking system. International Journal of Central Banking 3, pp. 123-171.
  21. Diamond D.W., Dybvig P.H. (1983) Bank runs, deposit insurance, and liquidity. Journal of Political Economy 91, pp. 401-419. jstor.org/stable/1837095
  22. Donaldson G. (1992) Costly liquidation, interbank trade, bank runs and panics. Journal of Financial Intermediation 2, pp. 59-82. doi.org/10.1016/1042-9573(92)90020-E
  23. Economist (2010) Agents of change. July 24nd 2010, 64.
  24. Elsinger H., Lehar A., Summer M. (2006) Risk assessment for banking systems. Management Science 52, pp. 1301-1314. doi.org/10.1287/mnsc.1060.0531
  25. Fama E. (1970) Efficient capital markets: a review of theory and empirical work. Journal of Finance 25, pp. 383-417. jstor.org/stable/2325486
  26. Farmer J.D., Foley D. (2009). The economy needs agent-based modeling. Nature 460, pp. 685-686.
  27. Furfine C.H. (2003) Interbank exposures: quantifying the risk of contagion. Journal of Money, Credit and Banking 35, pp. 111-128. jstor.org/stable/3649847
  28. Galati G., Moessner R. (2012) Macroprudential policy - a literature review. Journal of Economic Surveys, pp. 846-878. doi.org/10.1111/j.1467-6419.2012.00729.x
  29. Gauthier C., Lehar A., Souissi M. (2012) Macroprudential capital requirements and systemic risk. Journal of Financial Intermediation 21, pp. 594-618. doi.org/10.1016/j.jfi.2012.01.005
  30. Geanakoplos J., Axtell R., Farmer D.J., Howitt P., Conlee B., Goldstein J., Hendrey M., Palmer N.M., Yang C.-Y. (2012) Getting at systemic risk via an agent-based model of the housing market. Cowles Foundation Discussion Paper No. 1852. doi.org/10.2139/ssrn.2018375
  31. Georg C.-P. (2011) The effect of the interbank network structure on contagion and common shocks. Deutsche Bundesbank, Discussion Paper Series 2: Banking and Financial Studies No 12/2011.
  32. Glasner D. (1992) The real-bills doctrine in the light of the law of reflux. History of Political Economy 24, pp. 867-894. doi.org/10.1215/00182702-24-4-867
  33. Hanson S.G., Kashyap A.K., Stein J.C. (2011) A macroprudential approach to financial regulation. Journal of Economic Perspectives 25, pp. 3-28. doi.org/10.1257/jep.25.1.3
  34. Harras G., Somette D. (2011) How to grow a bubble: A model of myopic adapting agents. Journal of Economic Behavior & Organization 80, pp. 1137-1152. doi.org/10.1016/j.jebo.2011.03.003
  35. ICB (2011) Final Report Recommendations. Independent Commission on Banking, London.
  36. IMF (2011) Macroprudential policy: an organizing framework. Working paper, March 2011.
  37. Iori G., Jafarey S., Padilla F.G. (2006) Systemic risk on the interbank market. Journal of Economic Behavior & Organization 61, pp. 525-542. doi.org/10.1016/j.jebo.2004.07.018
  38. Jacques K., Nigro P. (1997) Risk-based capital, portfolio risk and bank capital: a simultaneous equations approach. Journal of Economic Business 49, pp. 533-547. doi.org/10.1016/S0148-6195(97)00038-6
  39. Kaizoji T. (2003) Speculative Bubbles and Fat-Tail Phenomena in a Heterogeneous Agent Model, in: Barnett W., et. al., Economic Complexity, ISETE vol.14, Chapter 10, Elsevier, Amsterdam, pp. 259-275. doi.org/10.1108/S1571-0386(2004)0000014013
  40. Kaizoji T. (2004) Intermittent chaos in a model of financial markets with heterogeneous agents. Chaos, Solitons and Fractals 20, pp. 323-327. doi.org/10.1016/S0960-0779(03)00386-2
  41. Kashyap A.K., Rajan R.G., Stein J.C. (2009) Rethinking Capital Regulation. In Federal Reserve Bank of Kansas City Symposium, Maintaining Stability in a Changing Financial System, February 2009, pp. 431-471.
  42. Kent M., Thompson J. (2008) The Economics of Banking. John Wiley & Sons. England.
  43. Kluger B.D., McBride M.E. (2011) Intraday trading patterns in an intelligent autonomous agent-based stock market. Journal of Economic Behavior & Organization 79, pp. 226-245. doi.org/10.1016/j.jebo.2011.01.032
  44. LeBaron B. (2012) Heterogeneous gain learning and the dynamics of asset prices. Journal of Economic Behavior & Organization 83, pp. 424-445. doi.org/10.1016/j.jebo.2012.03.003
  45. Lengwiler Y. (2004) Microfoundations of Financial Economics. Princeton University Press., New Jersey.
  46. Levine R. (2002) Bank-based or market-based financial systems: which is better? Journal of Financial Intermediation 11, pp. 398-428. doi.org/10.1006/jfin.2002.0341
  47. Lux T., Westerhoff, F. (2009) Economics crisis. Nature Physics , 5, pp. 2-3.
  48. Merton R.C. (1974) On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance 29, pp. 449-470. jstor.org/stable/2978814
  49. Nier E., Yang J., Yorulmazer T., Alentorn A. (2007) Network models and financial stability. Journal of Economic Dynamics and Control 31, pp. 2033-2060. doi.org/10.1016/j.jedc.2007.01.014
  50. Ongena S., Smith D.C. (2000) What determines the number of bank relationships? Cross-country evidence. Journal of Financial Intermediation 9, pp. 26-56. doi.org/10.1006/jfin.1999.0273
  51. Outkin A., Flaim S., Seirp A., Gavrilov J. (2008) FinSim. A framework for modeling financial system interdependencies, in: Shan Y., Yang A. (Eds.), Applications of Complex Adaptive Systems, IGI Global, London, pp. 257-277. doi.org/10.4018/978-1-59904-962-5.ch010
  52. Rao A.F., Georgeff M.P. (1991) Modeling rational agents within a BDI-architecture. Proceedings of the Second International Conference on Principles of Knowledge Representation and Reasoning, pp. 473-484, Morgan Kaufmann publishers Inc.: San Mateo, CA, USA.
  53. Rime B. (2001) Capital requirements and bank behaviour: empirical evidence for Switzerland. Journal of Banking and Finance 25, pp. 789-805. doi.org/10.1016/S0378-4266(00)00105-9
  54. Rissi R., Neuberger D., Clerc-Renaud S., Reifner, U. (2011) CRD IV - Impact Assessment of the Different Measures within the Capital Requirements Directive IV. European Parliament, Directorate General for Internal Policies, Policy Department A: Economic and Scientific Policy (ed.), Brussels. doi.org/10.2861/18718
  55. Santos J.A.C. (2001) Bank capital regulation in contemporary banking theory: a review of the literature. Financial Markets, Institutions & Instruments 10, pp. 41-84. doi.org/10.1111/1468-0416.00042
  56. SNB (2010a) Kreditvolumenstatistik. Swiss National Bank.
  57. SNB (2010b) Die Banken in der Schweiz 2009. Swiss National Bank.
  58. SNB (2010c) Vermögen der privaten Haushalte 2010. Swiss National Bank
  59. Selgin G.A. (1989) The analytical framework of the real-bills doctrine. Journal of Institutional Economics 145, pp. 489-507. jstor.org/stable/40751223
  60. SIF (2010) Final Report of the Commission of Experts for Limiting the Economic Risks Posed by Large Companies. State Secretariat for International Financial Matters SIF, Bern.
  61. SECO (2009) Studie zur Finanzierung der KMU's in der Schweiz. Staatssekretariat für Wirtschaft, Bern.
  62. SECO (2011) Die Volkswirtschaft. Staatssekretariat für Wirtschaft und Eidgenössisches Volkswirtschaftsdepartement., Bern.
  63. Shrieves R.E., Dahl D. (1992) The relationship between risk and capital in commercial banks. Journal of Banking and Finance 16, pp. 439-457. doi.org/10.1016/0378-4266(92)90024-T
  64. Takahashi H., Terano T. (2003) Agent-based approach to investors' behavior and asset price fluctuation in financial markets. Journal of Artificial Societies and Social Simulation 6(3). jasss.soc.surrey.ac.uk/6/3/3.html
  65. Thurner S. (2011) Systemic financial risk: agent based models to understand the leverage cycle on national scales and its consequences, OECD/IFP Project on Future Global Shocks (19/06/1212).
  66. Thurner S., Farmer J.D., Geanakoplos J. (2012) Leverage causes fat tails and clustered volatility. Quantitative Finance 12, pp. 695-707. doi.org/10.1080/14697688.2012.674301
  67. Thurner S., Hanel R., Pichler S. (2003) Risk trading, network topology, and banking regulation. Quantitative Finance 3, pp. 306-319. doi.org/10.1088/1469-7688/3/4/307
  68. Upper C., Worms A. (2004) Estimating bilateral exposures in the German interbank market: is there a danger of contagion? European Economic Review 48, pp. 827-849. doi.org/10.1016/j.euroecorev.2003.12.009
  69. Webber L., Willison M. (2011) Systemic capital requirements. Bank of England, Working Paper No. 436.
  70. Westerhoff F. (2008) The use of agent-based financial market models to test for the effectiveness of regulatory policies. Zeitschrift für Nationalökonomie und Statistik (Journal of Economics and Statistics) 228, pp. 195-227.
Cytowane przez
Pokaż
ISSN
2353-6845
Język
eng
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu