一种尺码适合所有人吗?流动性要求对银行破产的影响:来自伊朗上市银行的证据

Vahideh Sotoudeh Mollashahi, M. Talebi, M. Rastegar, R. Mojab, Monetary
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摘要

根据《巴塞尔协议III》(Basel III)监管框架,对所有类型的银行都实施了统一的最低流动性要求。利用基于代理的银行系统模型,我们在两个政策实验中研究了流动性要求对银行破产的影响,其中一个是统一应用最低流动性要求,另一个是不同银行的最低流动性要求。该模型引入了一个由12家异质银行组成的银行体系,这些银行在进行吸收存款和发放贷款的日常活动时,还必须遵守两项流动性要求。该模型应用于伊朗银行体系。结果表明,由于银行对流动性要求的反应不同,对所有类型的银行采用同一规模的最低流动性要求,增加了流动性冲击转变为银行破产的可能性,并可能增加银行体系的不稳定性。因此,我们的研究结果强调,为了实现国家层面的金融稳定,政策制定者在设计流动性要求时应修改当前的一刀切方法。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Does One Size Fit All? The Impact of Liquidity Requirements on Bank's Insolvency: Evidence from Iranian Listed Banks
According to the Basel III regulatory framework, uniform minimum liquidity requirements have been imposed on all types of banks. Using an agent-based model of a banking system, we investigate the effects of liquidity requirements on banks' insolvency under two policy experiments in one of which the minimum liquidity requirements are applied uniformly and in the other differentially across banks. The model introduces a banking system with 12 heterogeneous banks that must also comply with two liquidity requirements while performing their daily activities of taking deposits and making loans. The model is applied to the Iranian banking system. Results illustrate that because banks respond differently to liquidity requirements, applying one size minimum liquidity requirements to all kinds of banks, strengthens the likelihood of a liquidity shock turns into banks' insolvency and could increase banking system instability. Thus our findings highlight that to achieve financial stability at the national level, policymakers should revise the current one size fits all approach when designing liquidity requirements.
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