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Is Bank Capital Procyclical? A Cross-Country Analysis
Bikker, Jacob A. | Metzemakers, Paul A. J.
Credit and Capital Markets – Kredit und Kapital, Vol. 40 (2007), Iss. 2 : pp. 225–264
4 Citations (CrossRef)
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Jacob A. Bikker, Amsterdam
Paul A. J. Metzemakers, Amsterdam
Cited By
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Determinants of Solvency in Selected CEE Banking Sectors: Does Affiliation with the Financial Conglomerate Matter?
Klepková Vodová, Pavla
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https://doi.org/10.11118/actaun201967020493 [Citations: 1] -
EFFECTS OF AFFILIATION WITH THE FINANCIAL CONGLOMERATE ON BANK LIQUIDITY AND SOLVENCY IN THE VISEGRAD COUNTRIES
Klepková Vodová, Pavla
Acta academica karviniensia, Vol. 18 (2018), Iss. 2 P.16
https://doi.org/10.25142/aak.2018.010 [Citations: 1] -
The Cyclical Behaviour of Bank Capital Buffers: An Empirical Evidence for MENA Banking Systems
Saadaoui, Zied
Review of Middle East Economics and Finance, Vol. 11 (2015), Iss. 2
https://doi.org/10.1515/rmeef-2013-0067 [Citations: 5]
References
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Abstract
This article investigates the determinants of commercial banks' own internal capital targets and potential sensitivity of these levels to the business cycle. Worldwide results make clear that banks' own risk is only slightly dependent on the business cycle. Banks tend to hold substantial capital buffers on top of minimum requirements, reflecting that they hold capital for other reasons than strictly meeting the capital requirements. These results suggest that actual capital levels may not become substantially more procyclical under the new risk-sensitive Basel II regime. However, a number of banks, especially smaller ones, combine a relatively risky portfolio with limited buffer capital. A more risk-sensitive capital regulation regime could force these banks to obtain higher capital levels, which would make them more procyclical. (JEL E32, G21, G28, G31)