Bank Capital and Uncertainty:
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 statisti...
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1. Verfasser: | |
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Washington, D.C
International Monetary Fund
2010
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Schriftenreihe: | IMF Working Papers
Working Paper No. 10/208 |
Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
Zusammenfassung: | 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 |
Beschreibung: | 1 Online-Ressource (22 p) |
ISBN: | 1455205397 9781455205394 |
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spelling | Valencia, Fabian Verfasser aut Bank Capital and Uncertainty Valencia, Fabian Washington, D.C International Monetary Fund 2010 1 Online-Ressource (22 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 10/208 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 Online-Ausg http://elibrary.imf.org/view/IMF001/11270-9781455205394/11270-9781455205394/11270-9781455205394.xml Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Valencia, Fabian Bank Capital and Uncertainty |
title | Bank Capital and Uncertainty |
title_auth | Bank Capital and Uncertainty |
title_exact_search | Bank Capital and Uncertainty |
title_exact_search_txtP | Bank Capital and Uncertainty |
title_full | Bank Capital and Uncertainty Valencia, Fabian |
title_fullStr | Bank Capital and Uncertainty Valencia, Fabian |
title_full_unstemmed | Bank Capital and Uncertainty Valencia, Fabian |
title_short | Bank Capital and Uncertainty |
title_sort | bank capital and uncertainty |
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