Basel III capital requirements and heterogeneous banks / Carola Müller
Loading...
Download1.79 MB
Basel III capital requirements and heterogeneous banks
Discovery
1029018480
URN
urn:nbn:de:gbv:3:2-96422
DOI
ISBN
ISSN
Koordinaten
Skalierung
Author
dc.contributor.contributor
Other contributor
Publication history
Halle (Saale) : Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, [16. August 2018]
Content
1 Online-Ressource (III, 42 Seiten, 0,75 MB) : Diagramme
Edition
This version: October 2018
Language
eng
Comment
Abstract
I develop a theoretical model to examine the effect of capital requirements on risk taking and market structure of banks. Within a portfolio choice model, I allow for heterogeneous productivity among banks and consider the simultaneous capital regulation with a leverage ratio and a risk-weighted ratio. Regulators face a trade-off between the efficient allocation of resources and financial stability. In an oligopolistic market, risk-weighted requirements incentivise banks with high productivity to lend to low-risk firms. When a leverage ratio is introduced, these banks lose market shares to less productive competitors and react with risk-shifting into high-risk loans. While average productivity in the low-risk market falls, market shares in the high-risk market are dispersed across new entrants with high as well as low productivity.
Series
IWH-Diskussionspapiere ; 2018, no. 14 (August 2018) ppn:837399270