流动性、银行间网络拓扑和银行资本

IF 3.6 Q1 BUSINESS, FINANCE Review of Accounting and Finance Pub Date : 2023-07-27 DOI:10.1108/raf-03-2023-0092
Aref Mahdavi Ardekani
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引用次数: 1

摘要

目的虽然以前的文献强调了流动性与资本的因果关系,但银行间网络特征对这种关系的影响尚不清楚。通过应用银行间网络模拟,本文旨在检验资本和流动性之间的因果关系是否受到银行在银行间网络中的头寸的影响。设计/方法/方法利用2001年至2013年在28个欧洲国家建立的506家商业银行的样本,采用矩联立方程的广义方法研究银行间网络特征是否影响银行资本与流动性之间的因果关系。研究结果根据来自28个欧洲国家的商业银行样本,这项研究表明,银行间贷款和存款网络中的相互联系决定了它们在非流动性增加的情况下制定更高或更低的监管资本比率的决定。这些发现支持巴塞尔银行监管委员会倡导的最低流动性比率和资本比率的实施。此外,该文件强调了监管机构在监督和决策过程中考虑银行网络特征的重要性。独创性/价值本文通过考察银行间网络特征对银行资本和流动性之间关系的影响,对当前的研究做出了有价值的贡献。这些发现为正在进行的监管框架讨论提供了见解,并强调了考虑银行不同银行间网络地位的定制方法的必要性。
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Liquidity, interbank network topology and bank capital
Purpose While previous literature has emphasized the causal relationship from liquidity to capital, the impact of interbank network characteristics on this relationship remains unclear. By applying the interbank network simulation, this paper aims to examine whether the causal relationship between capital and liquidity is influenced by bank positions in the interbank network. Design/methodology/approach Using the sample of 506 commercial banks established in 28 European countries from 2001 to 2013, the author adopts the generalized method of moments simultaneous equations approach to investigate whether interbank network characteristics influence the causal relationship between bank capital and liquidity. Findings Drawing on a sample of commercial banks from 28 European countries, this study suggests that the interconnectedness of banks within interbank loan and deposit networks shapes their decisions to establish higher or lower regulatory capital ratios in the face of increased illiquidity. These findings support the implementation of minimum liquidity ratios alongside capital ratios, as advocated by the Basel Committee on Banking Regulation and Supervision. In addition, the paper underscores the importance of regulatory authorities considering the network characteristics of banks in their oversight and decision-making processes. Originality/value This paper makes a valuable contribution to the current body of research by examining the influence of interbank network characteristics on the relationship between a bank’s capital and liquidity. The findings provide insights that add to the ongoing discourse on regulatory frameworks and emphasize the necessity of customized approaches that consider the varied interbank network positions of banks.
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来源期刊
CiteScore
4.30
自引率
0.00%
发文量
18
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