| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11567 |
| DP11567 Leverage and Risk Weighted Capital Requirements | |
| Leonardo Gambacorta; Sudipto Karmakar | |
| 发表日期 | 2016-10-09 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | The global financial crisis has highlighted the limitations of risk-sensitive bank capital ratios. To tackle this problem, the Basel III regulatory framework has introduced a minimum leverage ratio, defined as a bank’s Tier 1 capital over an exposure measure, which is independent of risk assessment. Using a medium sized DSGE model that features a banking sector, financial frictions and various economic agents with differing degrees of creditworthiness, we seek to answer three questions: 1) How does the leverage ratio behave over the cycle compared with the risk-weighted asset ratio? 2) What are the costs and the benefits of introducing a leverage ratio, in terms of the levels and volatilities of some key macro variables of interest? 3) What can we learn about the interaction of the two regulatory ratios in the long run? The main answers are the following: 1) The leverage ratio acts as a backstop to the risk-sensitive capital requirement: it is a tight constraint during a boom and a soft constraint in a bust; 2) the net benefits of introducing the leverage ratio could be substantial; 3) the steady state value of the regulatory minima for the two ratios strongly depends on the riskiness and the composition of bank lending portfolios. |
| 主题 | Financial Economics |
| 关键词 | Bank capital buffers Regulation Risk-weighted assets Leverage |
| URL | https://cepr.org/publications/dp11567 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540381 |
| 推荐引用方式 GB/T 7714 | Leonardo Gambacorta,Sudipto Karmakar. DP11567 Leverage and Risk Weighted Capital Requirements. 2016. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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