| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12007 |
| DP12007 Are risk-based capital requirements detrimental to corporate lending? Evidence from Europe | |
| Brunella Bruno; Giacomo Nocera; Andrea Resti | |
| 发表日期 | 2017-04-28 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | In this paper, we first explore the main drivers of the differences in RWAs across European banks. We also assess the impact of RWA-based capital regulation on bank’s asset allocation in 2008-2014. We find that risk weights are affected by bank size, business models, and asset mix. We also find that the adoption of internal ratings-based approaches is an important driver of bank risk-weighted assets and that national segmentations explain a significant (albeit decreasing) share of the variability in risk weights. As for the impact on internal rating on banks’ asset allocation, we uncover that banks using IRB approaches more extensively have reduced more (or increased less) their corporate loan portfolio. Such effect is somehow stronger for banks located in Euro periphery countries during the 2010-12 sovereign crisis. We do not find evidence, however, of a reallocation from corporate loans to government exposures, pointing to the fact that other motives prevail in explaining the banks’ shift towards government bonds during the Euro sovereign crisis, including the “financial repression” channel. ∗ |
| 主题 | Financial Economics |
| URL | https://cepr.org/publications/dp12007 |
| 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/540819 |
| 推荐引用方式 GB/T 7714 | Brunella Bruno,Giacomo Nocera,Andrea Resti. DP12007 Are risk-based capital requirements detrimental to corporate lending? Evidence from Europe. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
