نسبت سرمایه و نقدینگی و اختلال مالی
ترجمه نشده

نسبت سرمایه و نقدینگی و اختلال مالی

عنوان فارسی مقاله: نسبت سرمایه و نقدینگی و اختلال مالی. شواهد موجود در صنعت بانکداری اروپا
عنوان انگلیسی مقاله: Capital and liquidity ratios and financial distress. Evidence from the European banking industry
مجله/کنفرانس: بررسی حسابداری انگلیسی – The British Accounting Review
رشته های تحصیلی مرتبط: اقتصاد، مدیریت
گرایش های تحصیلی مرتبط: اقتصاد مالی، اقتصاد پول و بانکداری، مدیریت مالی، بانکداری
کلمات کلیدی فارسی: سرمایه بانکی، نقدینگی ساختاری، بازل III، قصور بانک و نارضایتی، بحران مالی
کلمات کلیدی انگلیسی: bank capital، structural liquidity، Basel III، bank failure and distress، financial crises
نوع نگارش مقاله: مقاله پژوهشی (Research Article)
نمایه: Scopus – Master Journal List – JCR
شناسه دیجیتال (DOI): https://doi.org/10.1016/j.bar.2016.04.001
دانشگاه: Università Cattolica del Sacro Cuore – Via Necchi 7 – Milan – Italy
ناشر: الزویر - Elsevier
نوع ارائه مقاله: ژورنال
نوع مقاله: ISI
سال انتشار مقاله: 2017
ایمپکت فاکتور: ۲٫۲۳۲ در سال ۲۰۱۷
شاخص H_index: ۵۲ در سال ۲۰۱۷
شاخص SJR: ۰٫۹۸۶ در سال ۲۰۱۷
شناسه ISSN: 0890-8389
فرمت مقاله انگلیسی: PDF
تعداد صفحات مقاله انگلیسی: 50
وضعیت ترجمه: ترجمه نشده است
قیمت مقاله انگلیسی: رایگان
آیا این مقاله بیس است: بله
کد محصول: E10615
فهرست انگلیسی مطالب

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

نمونه متن انگلیسی مقاله

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).

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