نسبت سرمایه و نقدینگی و اختلال مالی
Abstract
1- Introduction
2- Basel III capital and liquidity requirements and bank stability
3- Literature review
4- Data and methodology
5- Main results
6- Robustness tests
7- Conclusions
References
Abstract
Using a large bank-level dataset, we test the relevance of both structural liquidity and capital ratios, as defined in Basel III, on banks' probability of failure. To include all relevant episodes of bank failure and distress (F&D) occurring in the EU-28 member states over the past decade, we develop a broad indicator that includes information not only on bankruptcies, liquidations, under receivership and dissolved banks, but also accounts for state interventions, mergers in distress and EBA stress test results. Estimates from several versions of the logistic probability model indicate that the likelihood of failure and distress decreases with increased liquidity holdings, while capital ratios are significant only for large banks. Our results provide support for Basel III's initiatives on structural liquidity and for the increased regulatory focus on large and systemically important banks.
Introduction
The global financial crisis lead to a broad consensus that capital and liquidity holdings are equally important to promote the safety and soundness of banks. This has prompted a revision of the existing regulatory framework, which resulted in the introduction of liquidity standards in the Basel III capital adequacy framework. While capital regulation aims to limit banks’ insolvency risk by increasing their loss-absorbing capacity, liquidity regulation aims to minimise banks’ maturity mismatch, to limit funding risk and market liquidity risk. Although theoretically more liquid and better-capitalised banks should also be safer banks, in practice these requirements might trigger changes in risk management, decrease bank profitability and ultimately increase bank risk taking propensity. While there is a substantial literature on the effectiveness of capital measures in predicting bank distress, little is known about the impact of the new liquidity measures. In addition, empirical evidence on how the combination of mandatory capital and liquidity ratios actually impacts on bank stability is limited. This paper contributes to the emerging strand of the literature on the potential impact of the introduction of minimum liquidity ratios (King, 2013; Dietrich et al., 2014; Hong et al., 2014) and investigates the effectiveness of the Basel III bank capital and liquidity measures in reducing bank failures and distress. In particular, we consider the relationship between the newly proposed measure of structural liquidity, the Net Stable Funding Ratio (NSFR), and subsequent bank probability of default. We also contribute to the broader literature on bank liquidity management, which builds on the works of Kashyap et al., (2002); Gatev and Strahan (2006); Gatev et al., (2009) and has recently considered whether banks advantage as liquidity providers has failed during the financial crisis (Acharya and Mora, 2015).