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Is Bank Capital Procyclical? A Cross-Country Analysis

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Bikker, J., Metzemakers, P. Is Bank Capital Procyclical? A Cross-Country Analysis. Credit and Capital Markets – Kredit und Kapital, 40(2), 225-264. https://doi.org/10.3790/ccm.40.2.225
Bikker, Jacob A. and Metzemakers, Paul A. J. "Is Bank Capital Procyclical? A Cross-Country Analysis" Credit and Capital Markets – Kredit und Kapital 40.2, 2007, 225-264. https://doi.org/10.3790/ccm.40.2.225
Bikker, Jacob A./Metzemakers, Paul A. J. (2007): Is Bank Capital Procyclical? A Cross-Country Analysis, in: Credit and Capital Markets – Kredit und Kapital, vol. 40, iss. 2, 225-264, [online] https://doi.org/10.3790/ccm.40.2.225

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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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Article Details

Author Details

Jacob A. Bikker, Amsterdam

Paul A. J. Metzemakers, Amsterdam

Cited By

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    Klepková Vodová, Pavla

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    https://doi.org/10.11118/actaun201967020493 [Citations: 1]
  2. 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]
  3. 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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  5. Bikker, J. A., H. Hu (2002): Cyclical patterns in profits, provisioning and lending of banks and procyclicality of the new Basel capital requirements, Banca Nazionale del Lavaro Quarterly Review 55, 143-175 (see also: www.dnb.nl).  Google Scholar

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)