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Bank Solvency and Funding Cost (Cód: 9753873)

Stefan W. Mr. Schmitz; Michael Sigmund

INTERNATIONAL MONETARY FUND

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Bank Solvency and Funding Cost

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Descrição

This paper presents new evidence on the empirical relationship between bank solvency andfunding costs. Building on a newly constructed dataset drawing on supervisory data for54 large banks from six advanced countries over 2004-2013, we use a simultaneous equationapproach to estimate the contemporaneous interaction between solvency and liquidity. Ourresults show that liquidity and solvency interactions can be more material than suggested bythe existing empirical literature. A 100 bps increase in regulatory capital ratios is associatedwith a decrease of bank funding costs of about 105 bps. A 100 bps increase in funding costsreduces regulatory capital buffers by 32 bps. We also find evidence of non-linear effectsbetween solvency and funding costs. Understanding the impact of solvency on funding costsis particularly relevant for stress testing. Our analysis suggests that neglecting the dynamicfeatures of the solvency-liquidity nexus in the 2014 EU-wide stress test could have led to asignificant underestimation of the impact of stress on bank capital ratios.

Características

Peso 0.00 Kg
Produto sob encomenda Sim
Marca INTERNATIONAL MONETARY FUND
Número de Páginas 46 (aproximado)
Idioma 337
Acabamento e-book
Gratuito Não
Código do Formato Pdf
Cód. Barras 9781484300909
AutorStefan W. Mr. Schmitz; Michael Sigmund