BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

da Fonseca Nicolay Rodolfo Tomás (Catholic University of Petropolis - Petrópolis, Rio de Janeiro, Brazil), de Moraes Claudio Oliveira (Candido Mendes University, Rio de Janeiro, Brazil), Pires Tiberto Bruno (Central Bank of Brazil)
The Effect of Central Bank Communication on the Capital Buffer of Banks: Evidence from an Emerging Economy
Econometric Research in Finance, 2018, vol. 3, nr 1, s. 1-26, tab., bibliogr. 35 poz.
Słowa kluczowe
Polityka pieniężna, Stabilność finansowa, Polityka gospodarcza, Banki, Polityka makroostrożnościowa
Monetary policy, Financial sustainability, Economic policy, Banks, Macroprudential policy
JEL classifcation: E52, E58, G18
The global financial crisis has revealed that the coordination between monetary policy and financial stability should be part of economic policy. This study examines the effects of monetary policy on the capital buffer (financial stability proxy) in the Brazilian economy and, in particular, how communication about both monetary policy and normative macroprudential policy affect the capital buffer maintained by banks. The study presents three main results: i) banks react strongly to monetary policy changes by increasing (reducing) the capital buffer in response to an increase (decrease) in the interest rate; ii) banks increase (decrease) the capital buffer when the central bank monetary policy communication signals an increase (decrease) in interest rates; and iii) banks use the capital buffer to accommodate the new measures of regulatory capital: the announcement of restrictive (liberalizing) capital measures reduces (increases) the capital buffer(original abstract)
Dostępne w
Biblioteka Szkoły Głównej Handlowej w Warszawie
Pełny tekst
  1. Ayuso, J.; Pérez, D.; Saurina, J.(2004). "Are capital buffers procyclical? Evidence from Spanish panel data." "Journal of Financial Intermediation". 13(2), 249-264.
  2. BASEL COMMITTEE ON BANKING SUPERVISION (2010). "Guidance for national authorities operating the countercyclical capital buffer." Bank for International Settlements.
  3. Blinder, A.; Ehrmann, M.; Fratzscher, M.; De Hann, J.; Jansen, D. (2008). "Central bank communication and monetary policy: a survey of theory and evidence." "Journal of Economic Literature". 46(4), 910-945.
  4. Borio, C.; Zhu, H.(2012). "Capital Regulation, Risk-Taking and Monetary Policy: A Missing Link in the Transmission Mechanism?" "Journal of Financial Stability". 8(4), 236-251.
  5. Borio, C.A. (2011). "Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward." "Annual Review of Financial Economics". 3, 87-117.
  6. Born, B.; Ehrmann M.; Fratzscher M. (2012). "Communicating About Macro-prudential Supervision - A New Challenge for Central Banks." "International Finance". 15(2), 179-203.
  7. Brooks, C. (2014). "Introductory Econometrics for Finance." 3rd edition. New York, NY: Cambridge University Press.
  8. Carvallo, O.; Kasman, A.; Kontbay-Busun, S. (2015). "The Latin American bank capital buffers and business cycle: Are they pro-cyclical?" "Journal of International Financial Markets, Institutions & Money". 36, 148-160.
  9. De Moraes, C.O., Montes, G. E Antunes, J. (2016). "How does capital regulation react to monetary policy? New evidence on the risk-taking channel." "Economic Modelling". 56(C), 177-186.
  10. Durbin, J. (1954) "Errors in variables." Review of the International Statistical Institute, 22, 23-32.
  11. Fitzenberger, B. (1997). "The moving blocks bootstrap and robust inference for linear least squares and quantile regressions". "Journal of Econometrics". 82, 235-287.
  12. Guidara, A.; Lai, V.S.; Soumaré, I.; Tchana, F.T. (2013). "Banks' capital buffer, risk and performance in the Canadian banking system: impact of business cycles and regulatory changes." "Journal of Banking and Finance". 37(9), 3373-3387.
  13. Hansen, L.P. (1982) "Large sample properties of generalized method of moments estimators." "Econometrica". 50, 1029-1054.
  14. Hausman, J. (1978) "Specification tests in econometrics." "Econometrica", 46(6), 1251-1271.
  15. Johnston, J. (1984). "Econometric Methods." 3rd edition. Singapore: McGraw-Hill Book.
  16. Jokipii, T.; Milne, A. (2008). "The cyclical behaviour of European bank capital buffers." "Journal of Banking and Finance". 32(8), 1440-1451.
  17. Jokipii, T; Milne, A. (2011). "Bank capital buffer and risk adjustment decisions." "Journal of Financial Stability". 7(3), 165-178.
  18. Koenker, R., Bassett, G.W. (1978). "Regression quantiles". "Econometrica". 46 (1), 33-50.
  19. Konishi, M.; Yasuda, Y. (2004). "Factors affecting bank risk taking: evidence from Japan." "Journal of Banking and Finance". 28(1), 215-232.
  20. Lindquist, K.G. (2004). "Banks buffer capital: how important is risk?" "Journal of International Money and Finance". 23(3), 493-513.
  21. Milne, A.; Whalley, E. (2001). "Bank Capital Regulation and Incentives for Risk-taking." Cass Business School Research Paper.
  22. Montes, G.C.; Peixoto, G.B.T. (2014). "Risk-taking channel, bank lending channel and the 'paradox of credibility': Evidence from Brazil." "Economic Modelling". 39, 82-94.
  23. Montes, G.C.; Scarpari, A. (2014), "Does central bank communication affect bank risk-taking?" "Applied Economics Letters." 22(9), 37-41.
  24. Nier, E.; Baumman, U. (2006). "Market discipline, disclosure and moral hazard in banking." "Journal of Financial Intermediation". 15(3), 332-361.
  25. Poloz, S.S. (2015). "Integrating financial stability into monetary policy." "Business Economics". 50(4), 200-205.
  26. RAMSEY, J.B. (1969). "Tests for Specification Errors in Classical Linear Least Squares Regression Analysis." "Journal of the Royal Statistical Society". 31(B), 350-371.
  27. Repullo, R. (2005). "Liquidity, risk-taking and the lender of last resort." "Centre for Economic Policy Research. Discussion Pape"r, n. 4967.
  28. Rosa, C., Verga, G. (2007). "On the Consistency and Effectiveness of Central Bank Communication: Evidence from the ECB." "European Journal of Political Economy". 23(1), 146-75.
  29. Shim, J. (2013). "Bank capital buffer and portfolio risk: the influence of business cycle and revenue diversification." "Journal of Banking and Finance". 37(3), 761-772.
  30. Stolz, S.; Wedow, M. (2011). "Banks' regulatory capital buffer and the business cycle: Evidence for Germany." "Journal of Financial Stability". 7(2), 98-110.
  31. Windmeijer, F., (2005). A finite sample correction for the variance of linear efficient two-step GMM estimators." Journal of Econometrics, 126(1), 25-51.
  32. Woodford, M. (2010). Financial Intermediation and Macroeconomic Analysis." "Journal of Economic Perspectives". 24(4), 21-44.
  33. Wooldridge, J. M. (2001) Applications of generalized method of moments estimation. "Journal of Economic Perspectives", 15(4), 87-100.
  34. Wooldridge, J.M. (2009). Introductory Econometrics: A Modern Approach. Mason, OH: South-Western Cengage Learning.
  35. Wu, D. M. (1973) Alternative tests of independence between stochastic regressors and disturbances." Econometrica " 41(4), 733-750.
Cytowane przez
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu