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The Benefits and Costs of Adjusting Bank Capitalisation
Katarzyna Budnik
Massimiliano Affinito
Gaia Barbic
Saiffedine Ben Hadj
Edouard Chretien
Hans Dewachter
Clara Isabel Gonzalez
Jenny Hu
Lauri Jantunen
Ramona Jimborean
Otso Manninen
Ricardo Martinho
Javier Mencía
Selcuk Ozsahin
Ana Regina Pereira
Elena Mousarri
Jairo Rivera-Rozo
Laurynas Naruševičius
Giulio Nicoletti
Michael O'Grady
Constantinos Trikoupis
Fabrizio Venditti
Sofia Velasco
其他書名
Evidence from Euro Area Countries
出版
European Central Bank
, 2019
ISBN
9289935235
9789289935234
URL
http://books.google.com.hk/books?id=2djpzgEACAAJ&hl=&source=gbs_api
註釋
The paper proposes a framework for assessing the impact of system-wide and bank-level capital buffers. The assessment rests on a factor-augmented vector autoregression (FAVAR) model that relates individual bank adjustments to macroeconomic dynamics. We estimate FAVAR models individually for eleven euro area economies and identify structural shocks, which allow us to diagnose key vulnerabilities of national banking systems and estimate short-run economic costs of increasing banks' capitalisation. On this basis, we run a fully-fledged cost-benefit assessment of an increase in capital buffers. The benefits are related to an increase in bank resilience to adverse shocks. Higher capitalisation allows banks to withstand negative shocks and moderates the reduction of credit to the real economy that ensues in adverse circumstances. The costs relate to transitory credit and output losses that are assessed both on an aggregate and bank level. An increase in capital ratios is shown to have a sharply different impact on credit and economic activity depending on the way banks adjust, i.e. via changes in assets or equity.