Macroeconomic Costs of Higher Bank Capital and Liquidity Requirements / Scott Roger, Jan Vlcek.

Format:

Book

Government document

Author/Creator:

Roger, Scott.

Contributor:

Vlček, Jan.

International Monetary Fund.

Series:

IMF Working Papers; Working Paper ; No. 2011/103

IMF Working Papers

Language:

English

Subjects (All):

Bank capital--Econometric models.

Bank capital.

Bank liquidity--Econometric models.

Bank liquidity.

Physical Description:

1 online resource (75 p.)

Place of Publication:

Washington, D.C. : International Monetary Fund, 2011.

Language Note:

English

Summary:

This paper uses a DSGE model with banks and financial frictions in credit markets to assess the medium-term macroeconomic costs of increasing capital and liquidity requirements. The analysis indicates that the macroeconomic costs of such measures are sensitive to the length of the implementation period as well as to the adjustment strategy used by banks, and the scope for monetary policy to respond to the regulatory changes.

Contents:

Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Modeling Macro-Financial Linkages; A. Incorporating a Banking Sector into the Macroeconomic Model; 1. A Representative Bank Balance Sheet; B. Real-Financial Linkages and the Transmission Mechanism An unexpected technology shock; 1. A Technology Shock; III. Macroeconomic Costs of Increasing Capital and Liquidity Requirements; A. Regulatory Changes and Assumptions; B. Potential Bank Responses to an Increase in Capital Requirements; C. Results; 2. The Euro Area-Effects of Tighter Capital Requirements

3. The United States-Effects of Tighter Capital RequirementsD. An Increase in Liquidity Requirements; 4. The Euro Area-Effects of Tighter Liquidity Requirements; 5. The United States-Effects of Tighter Liquidity Requirements; E. Sensitivity and Robustness Analysis; 6. The Euro Area-Effects of Tighter Capital Requirements over Different Horizons; 7. The United States-Effects of Tighter Capital Requirements over Different Horizons; 8. Effects of Tighter Liquidity Requirements over Different Horizons; 9. The Euro Area-Effects of Tighter Capital Requirements under Alternative Monetary Policy

10. The United States-Effects of Tighter Capital Requirements under Alternative Monetary Policy11. Effects of Tighter Liquidity Requirements under Alternative Monetary Policy; 12. Persistence of the Capital Adequacy Ratio; IV. Concluding Comments and Future Directions; I. A Description of the Model and Calibration; 13. Calibration of Model's Parameters Affecting Steady-state; 14. Implied Model Ratios; 15. Calibration of Model Dynamic Parameters; 2. The Euro Area-Increasing Retained Earning via Dividend Policy; 3. The United States-Increasing Retained Earning via Dividend Policy

4. The Euro Area-Adjusting Banks Assets via the LTV Ratio5. The United States-Adjusting Banks Assets via the LTV Ratio; 6. The Euro Area-Adjusting Banks Assets via the LTV Ratio and Portfolio Riskiness; 7. The United States-Adjusting Banks Assets via the LTV Ratio and Portfolio Riskiness; 8. Effects of Tighter Liquidity Requirements; 9. The Euro Area-Effects of Tighter Liquidity Requirements under Different Risk-weighting Assumptions; 10. The United States-Effects of Tighter Liquidity Requirements under Different Risk-weighting Assumptions

11. The Euro Area-Effects of Tighter Capital Requirements over Different Horizons12. The United States-Effects of Tighter Capital Requirements over Different Horizons; 13. The Euro Area-Effects of Tighter Liquidity Requirements over Different Horizons; 14. The United States-Effects of Tighter Liquidity Requirements over Different Horizons; 15. The Euro Area-Effects of Tighter Capital Requirements under Alternative Monetary Policy; 16. The United States-Effects of Tighter Capital Requirements under Alternative Monetary Policy

17. The Euro Area-Adjustment of the Capital Adequacy Ratio to 1 p.p. Increase of Requirements

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on online resource; title from PDF title page (ebrary, viewed September 27, 2014).

ISBN:

9786613877185

9781455270439

1455270431

9781462338481

1462338488

9781283564731

1283564734

9781455256341

145525634X