Should Basel-style liquidity requirements be set countercyclically? Evidence from a numerical analysis

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2024-07-27 DOI:10.1016/j.irfa.2024.103502

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Abstract

We develop a model to compare the changes in banks' equilibrium capital and liquidity holdings under various versions of Basel-style requirements across economic cycles. We find that banks' liquidity is countercyclical while capital buffer is procyclical. Countercyclical liquidity-holding behaviour causes a larger liquidation of loans in economic expansions. We also find that Basel-style liquidity requirements help to lower banks' loan liquidations in economic upturns, although it is of limited effectiveness in economic downturns. We thus suggest that similar to capital requirements, liquidity requirements should also be set in a countercyclical manner. Our results show that capital requirements and liquidity requirements are complements in economic upturns in terms of enhancing banking stability and obtaining social welfare. Furthermore, Basel III outperforms previous regulatory versions in enhancing bank stability and social welfare in extreme situations.

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巴塞尔式流动性要求是否应反周期设定？数值分析的证据

我们建立了一个模型，比较在不同版本的巴塞尔协议要求下，银行的均衡资本和流动性持有量在不同经济周期的变化。我们发现，银行的流动性是反周期的，而资本缓冲是顺周期的。反周期的流动性持有行为会在经济扩张时导致更大规模的贷款清算。我们还发现，巴塞尔式流动性要求有助于在经济上行时降低银行的贷款清算，但在经济下行时效果有限。因此，我们建议，与资本要求类似，流动性要求也应以反周期方式设定。我们的研究结果表明，在经济上升期，资本要求和流动性要求在增强银行业稳定性和获得社会福利方面是互补的。此外，在极端情况下，《巴塞尔协议 III》在提高银行稳定性和社会福利方面优于之前的监管版本。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.