Bank Capital and Systemic Stability

Anginer, Deniz ; Demirguc-Kunt, Asli

World Bank, Washington, DC

关键词: ACCOUNTING;    ARBITRAGE;    ASSET PRICES;    ASSET QUALITY;    ASSET RATIO;   

DOI  :  10.1596/1813-9450-6948
RP-ID  :  WPS6948

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

This paper distinguishes among varioustypes of capital and examines their effect on system-widefragility. The analysis finds that higher quality forms ofcapital reduce the systemic risk contribution of banks,whereas lower quality forms can have a destabilizing impact,particularly during crisis periods. The impact of capital onsystemic risk is less pronounced for smaller banks, forbanks located in countries with more generous safety nets,and in countries with institutions that allow for betterpublic and private monitoring of financial institutions. Theresults show that regulatory capital is effective inreducing systemic risk and that regulatory risk weights arecorrelated with higher future asset volatility, but thisrelationship is significantly weaker for larger banks. Thepaper also finds that increased regulatory risk-weights notcorrelated with future asset volatility increase systemicfragility. Overall, the results are consistent with thetheoretical literature that emphasizes capital as apotential buffer in absorbing liquidity, information, andeconomic shocks reducing contagious defaults.