Franklin

Bank Capital and Uncertainty [electronic resource] Valencia, Fabian.

Author/Creator:
Valencia, Fabian.
Publication:
Washington, D.C. : International Monetary Fund, 2010.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 10/208.
IMF Working Papers; Working Paper No. 10/208
Format/Description:
Government document
Book
1 online resource (22 p.)
Local subjects:
Bank borrowing. (search)
Bank capital. (search)
Bank capital regulation. (search)
Bank credit. (search)
Bank debt. (search)
Bank groups. (search)
Bank portfolio. (search)
Bank regulation. (search)
Banking. (search)
Banking capital. (search)
Banking industry. (search)
Banks. (search)
Calibration. (search)
Capital adequacy. (search)
Capital regulation. (search)
Computation. (search)
Descriptive statistics. (search)
Economic models. (search)
Empirical exercise. (search)
Empirical measure. (search)
Equation. (search)
Financial risk. (search)
Foreign exchange. (search)
Global Financial Crisis -- 2008-2009. (search)
Independent variables. (search)
Logarithm. (search)
Off balance sheet. (search)
Random samples. (search)
Risk management. (search)
Samples. (search)
Standard errors. (search)
Statistics. (search)
Time series. (search)
United States. (search)
Summary:
An important role for bank capital is that of a buffer against unexpected losses. As uncertainty about these losses increases, the theory predicts an increase in the optimal level of bank capital. This paper investigates this implication empirically with U.S. Commercial Banks data and finds statistically significant and robust evidence supporting it. A counterfactual experiment suggests that a decline in uncertainty to the lowest level measured in the sample generates an average reduction in bank capital ratios of slightly over 1 percentage point. However, I also find suggestive evidence that the intensity of this precautionary motive is stronger during recessions. From a policy perspective, these results suggest that the effectiveness of countercyclical capital requirements during bad times will be undermined by banks desire to hold more capital in response to increased uncertainty.
Notes:
Description based on print version record.
Contributor:
Valencia, Fabian.
Other format:
Print Version:
ISBN:
1455205397:
9781455205394
ISSN:
1018-5941
Publisher Number:
10.5089/9781455205394.001
Access Restriction:
Restricted for use by site license.
Loading...
Location Notes Your Loan Policy
Description Status Barcode Your Loan Policy