The relationship between capital and liquidity prudential instruments
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F04274644%3A_____%2F21%3A%230000703" target="_blank" >RIV/04274644:_____/21:#0000703 - isvavai.cz</a>
Alternative codes found
RIV/61384399:31110/21:00056236 RIV/49777513:23510/21:43961131
Result on the web
<a href="https://link.springer.com/article/10.1007/s11149-020-09420-1" target="_blank" >https://link.springer.com/article/10.1007/s11149-020-09420-1</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
The relationship between capital and liquidity prudential instruments
Original language description
Basel III introduced unweighted capital standard and new regulatory liquidity standards to complement the revised risk-weighted capital requirements. This change in banking sector regulation raised questions on how the capital and liquidity requirements interact and how they should be jointly treated. In the paper, we assess how a regulatory and a subsequent economic shock, and banks’ subsequent response to it, affects compliance with the four regulatory requirements. We find that the capital and liquidity requirements can act as both, substitutes and complements, depending on the adjustment strategy banks choose to react to these shocks. We assert that to be able to properly calibrate macroprudential policy measures such as the counter-cyclical capital buffer, it is vital for macroprudential authorities to look at the initial levels of the other required ratios as well as to monitor banks’ subsequent response.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50200 - Economics and Business
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Regulatory Economics
ISSN
0922-680X
e-ISSN
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Volume of the periodical
59
Issue of the periodical within the volume
1
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
24
Pages from-to
47-70
UT code for WoS article
000591562200001
EID of the result in the Scopus database
2-s2.0-85096387297