Stolz Bank Capital and Risk-Taking

The Impact of Capital Regulation, Charter Value, and the Business Cycle
1. Auflage 2007
ISBN: 978-3-540-48545-2
Verlag: Springer Berlin Heidelberg
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, Band 337, 151 Seiten

Reihe: Kieler Studien - Kiel Studies

The year-long consultations on Basel II mirror the international popularity of capital requirements as a regulatory instrument. Yet, the impact of capital requirements on banks' behavior is not fully understood. The aim of this study is to contribute to this understanding.

Autoren/Hrsg.

Stolz, Stéphanie M.

Inhaltsverzeichnis

1;Preface;6
2;Contents;8
3;List of Tables;11
4;List of Figures;13
5;1 Introduction;14
6;2 Theoretical Literature;20
6.1;2.1 Moral Hazard in Banking;20
6.2;2.2 Capital Regulation in Models of Moral Hazard;23
6.3;2.3 The Disciplining Effect of Charter Value;26
6.4;2.4 A Model with Charter Value and Endogenous Capital;29
6.5;2.5 Further Considerations;34
6.6;2.6 Hypotheses on ...;38
7;3 Capital and Risk Adjustments after an Increase in Capital Requirements;43
7.1;3.1 Introduction;43
7.2;3.2 The Empirical Model;45
7.3;3.3 Data Description;55
7.4;3.4 Regression Analysis;60
7.5;3.5 Conclusion;76
7.6;3.6 Appendix 1: Descriptive Statistics;77
7.7;3.7 Appendix 2: Robustness Checks;81
8;4 Capital and Risk Adjustments over the Business Cycle;91
8.1;4.1 Introduction;91
8.2;4.2 The Empirical Model;93
8.3;4.3 Data Description;101
8.4;4.4 Regression Analysis;103
8.5;4.5 Conclusion;116
8.6;4.6 Appendix 1: Descriptive Statistics;117
8.7;4.7 Appendix 2: Robustness Checks;120
9;5 The Disciplining Effect of Charter Value on Risk- Taking;124
9.1;5.1 Introduction;124
9.2;5.2 The Empirical Model;126
9.3;5.3 Data Description;134
9.4;5.4 Regression Analysis;135
9.5;5.5 Conclusion;145
9.6;5.6 Appendix 1: Descriptive Statistics;147
9.7;5.7 Appendix 2: Robustness Checks;152
10;6 Final Remarks;153
11;References;157