巴塞尔协议 III》流动性法规的约束与松弛:印度尼西亚的证据

IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Journal of International Financial Markets Institutions & Money Pub Date : 2024-09-05 DOI:10.1016/j.intfin.2024.102046
Zaäfri A. Husodo, Arisyi F. Raz, Dwi Nastiti Danarsari
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引用次数: 0

摘要

流动性监管框架是《巴塞尔协议 III》实施的支柱之一。在本文中,我们将评估《巴塞尔协议 III》的流动性监管规定(即流动性覆盖率和净稳定资金比率)及其相互作用如何影响金融稳定性。理论表明,在维护金融稳定的过程中,流动性法规可能无法起到互补作用。如果其中一项法规是约束性的,另一项法规就可能成为束缚性的。印度尼西亚是较早采用 LCR 和 NSFR 的国家,以印度尼西亚为试验场,我们发现 LCR 显著降低了银行的系统性风险,从而成为具有约束力的流动性法规。系统性风险的降低反映了在实施《流动性补偿条例》后,金融体系中的火灾溢出影响降低了。然而,《国家净资产收益率法》对系统风险的影响并不显著,这证实了它的松弛作用。
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The bind and the slack of Basel III liquidity regulations: Evidence from Indonesia

Liquidity regulation framework is one of the pillars of Basel III implementation. In this paper, we evaluate how Basel III liquidity regulations, namely the liquidity coverage ratio (LCR) and the net stable funding ratio (NSFR), as well as their interactions affect financial stability. Theory suggests that, in maintaining financial stability, liquidity regulations may not act as complements. If one regulation is a binding constraint, the other may become a slack. Using Indonesia, an early adopter of the LCR and the NSFR, as a testing ground, we find that the LCR significantly reduces bank systemic risk, thus acting as a binding liquidity regulation. Lower systemic risk reflects lower fire-sale spillover implications in the financial system after the implementation of the LCR. The NSFR, however, does not have a significant effect on systemic risk, confirming its role as a slack.

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来源期刊
CiteScore
6.60
自引率
10.00%
发文量
142
期刊介绍: International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.
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