{"title":"巴塞尔式流动性要求是否应反周期设定？数值分析的证据","authors":"","doi":"10.1016/j.irfa.2024.103502","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":null,"pages":null},"PeriodicalIF":7.5000,"publicationDate":"2024-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1057521924004344/pdfft?md5=5a7f98c52e60d4c4d24802793ce1db70&pid=1-s2.0-S1057521924004344-main.pdf","citationCount":"0","resultStr":"{\"title\":\"Should Basel-style liquidity requirements be set countercyclically? Evidence from a numerical analysis\",\"authors\":\"\",\"doi\":\"10.1016/j.irfa.2024.103502\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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.</p></div>\",\"PeriodicalId\":48226,\"journal\":{\"name\":\"International Review of Financial Analysis\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":7.5000,\"publicationDate\":\"2024-07-27\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S1057521924004344/pdfft?md5=5a7f98c52e60d4c4d24802793ce1db70&pid=1-s2.0-S1057521924004344-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Review of Financial Analysis\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1057521924004344\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Financial Analysis","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1057521924004344","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Should Basel-style liquidity requirements be set countercyclically? Evidence from a numerical analysis
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.
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.
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