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@article{8927, author = {Hodula, Martin and Komárková, Zlatuše and Pfeifer, Lukáš}, article_location = {Switzerland}, article_number = {1}, keywords = {Prudential regulation; Capital reserves; Liquidity requirements; Interaction}, language = {eng}, issn = {0922-680X}, journal = {Journal of Regulatory Economics}, title = {The relationship between capital and liquidity prudential instruments}, url = {https://link.springer.com/article/10.1007/s11149-020-09420-1}, volume = {59}, year = {2021} }
TY - JOUR ID - 8927 AU - Hodula, Martin - Komárková, Zlatuše - Pfeifer, Lukáš PY - 2021 TI - The relationship between capital and liquidity prudential instruments JF - Journal of Regulatory Economics VL - 59 IS - 1 SP - 47-70 EP - 47-70 PB - Springer SN - 0922680X KW - Prudential regulation KW - Capital reserves KW - Liquidity requirements KW - Interaction UR - https://link.springer.com/article/10.1007/s11149-020-09420-1 N2 - 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. ER -
HODULA, Martin, Zlatuše KOMÁRKOVÁ a Lukáš PFEIFER. The relationship between capital and liquidity prudential instruments. \textit{Journal of Regulatory Economics}. Switzerland: Springer, 2021, roč.~59, č.~1, s.~47-70. ISSN~0922-680X.
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