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Quantifying and explaining parameter heterogeneity in the capital regulation-bank risk nexus

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Quantifying and explaining parameter heterogeneity in the capital regulation-bank risk nexus. / Delis, Manthos D.; Tran, Kien C.; Tsionas, Michael.
In: Journal of Financial Stability, Vol. 8, No. 2, 04.2012, p. 57-68.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Delis, MD, Tran, KC & Tsionas, M 2012, 'Quantifying and explaining parameter heterogeneity in the capital regulation-bank risk nexus', Journal of Financial Stability, vol. 8, no. 2, pp. 57-68. https://doi.org/10.1016/j.jfs.2011.04.002

APA

Delis, M. D., Tran, K. C., & Tsionas, M. (2012). Quantifying and explaining parameter heterogeneity in the capital regulation-bank risk nexus. Journal of Financial Stability, 8(2), 57-68. https://doi.org/10.1016/j.jfs.2011.04.002

Vancouver

Delis MD, Tran KC, Tsionas M. Quantifying and explaining parameter heterogeneity in the capital regulation-bank risk nexus. Journal of Financial Stability. 2012 Apr;8(2):57-68. doi: 10.1016/j.jfs.2011.04.002

Author

Delis, Manthos D. ; Tran, Kien C. ; Tsionas, Michael. / Quantifying and explaining parameter heterogeneity in the capital regulation-bank risk nexus. In: Journal of Financial Stability. 2012 ; Vol. 8, No. 2. pp. 57-68.

Bibtex

@article{4ef663b5ba104716988386b3be098cb2,
title = "Quantifying and explaining parameter heterogeneity in the capital regulation-bank risk nexus",
abstract = "By examining the impact of capital regulation on bank risk-taking using a local estimation technique, this paper attempts to quantify for the first time the heterogeneous response of banks towards this type of regulation in banking sectors of western-type economies. Subsequently, using this information, we examine the sources of heterogeneity. The findings suggest that the impact of capital regulation on bank risk is very heterogeneous across banks and the sources of this heterogeneity can be traced into both bank and industry characteristics, as well as into macroeconomic conditions. An important implication of the findings is that common capital regulatory umbrellas are not sufficient to promote financial stability, especially if they are not accompanied by supervisory effectiveness. On the basis of our findings, we contend that more focus should be placed on the actions needed to restrain excessive risk-taking of banks.",
keywords = "Capital regulation, Risk-taking of banks, Local generalized method of moments",
author = "Delis, {Manthos D.} and Tran, {Kien C.} and Michael Tsionas",
year = "2012",
month = apr,
doi = "10.1016/j.jfs.2011.04.002",
language = "English",
volume = "8",
pages = "57--68",
journal = "Journal of Financial Stability",
issn = "1572-3089",
publisher = "Elsevier",
number = "2",

}

RIS

TY - JOUR

T1 - Quantifying and explaining parameter heterogeneity in the capital regulation-bank risk nexus

AU - Delis, Manthos D.

AU - Tran, Kien C.

AU - Tsionas, Michael

PY - 2012/4

Y1 - 2012/4

N2 - By examining the impact of capital regulation on bank risk-taking using a local estimation technique, this paper attempts to quantify for the first time the heterogeneous response of banks towards this type of regulation in banking sectors of western-type economies. Subsequently, using this information, we examine the sources of heterogeneity. The findings suggest that the impact of capital regulation on bank risk is very heterogeneous across banks and the sources of this heterogeneity can be traced into both bank and industry characteristics, as well as into macroeconomic conditions. An important implication of the findings is that common capital regulatory umbrellas are not sufficient to promote financial stability, especially if they are not accompanied by supervisory effectiveness. On the basis of our findings, we contend that more focus should be placed on the actions needed to restrain excessive risk-taking of banks.

AB - By examining the impact of capital regulation on bank risk-taking using a local estimation technique, this paper attempts to quantify for the first time the heterogeneous response of banks towards this type of regulation in banking sectors of western-type economies. Subsequently, using this information, we examine the sources of heterogeneity. The findings suggest that the impact of capital regulation on bank risk is very heterogeneous across banks and the sources of this heterogeneity can be traced into both bank and industry characteristics, as well as into macroeconomic conditions. An important implication of the findings is that common capital regulatory umbrellas are not sufficient to promote financial stability, especially if they are not accompanied by supervisory effectiveness. On the basis of our findings, we contend that more focus should be placed on the actions needed to restrain excessive risk-taking of banks.

KW - Capital regulation

KW - Risk-taking of banks

KW - Local generalized method of moments

U2 - 10.1016/j.jfs.2011.04.002

DO - 10.1016/j.jfs.2011.04.002

M3 - Journal article

VL - 8

SP - 57

EP - 68

JO - Journal of Financial Stability

JF - Journal of Financial Stability

SN - 1572-3089

IS - 2

ER -