Bank Balance Sheet Dynamics under a Regulatory Liquidity-Coverage-Ratio Constraint

Balasubramanyan, Lakshmi; VanHoose, David D.

doi:10.26509/frbc-wp-201209

Cited by 6 publications

(6 citation statements)

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“…6 Risk-Adjusted Return on Capital and Risk-Adjusted Return on Risk-Adjusted Capital 7 See also Elyasiani et al (1995); Balasubramanyan and VanHoose (2013) tion among risks;…”

Section: Outlinementioning

confidence: 99%

Modeling Emergence of the Interbank Networks

Hałaj

Kok

2014

SSRN Journal

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“…6 Risk-Adjusted Return on Capital and Risk-Adjusted Return on Risk-Adjusted Capital 7 See also Elyasiani et al (1995); Balasubramanyan and VanHoose (2013) tion among risks;…”

Section: Outlinementioning

confidence: 99%

Modeling Emergence of the Interbank Networks

Hałaj

Kok

2014

SSRN Journal

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“…Also, they find banks subject to the CAR further reduce lending when the LCR is imposed on them. Balasubramanyan and VanHoose (2013) find under the LCR, banks increase loans and deposits when the spread between security and deposit rates 6 More specifically, if the CGE takes place, the increase in the investment equals the deposits increased by the injection at date 1 and created at date 2. If the UGE takes place, the increase in the investment equals the deposits created at date 2.…”

Section: Introductionmentioning

confidence: 99%

When Government Expenditure Meets Bank Regulation: The Impact of Government Expenditure on Credit Supply

2022

SSRN Journal

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I develop a banking model to examine the effects of government expenditures on the credit and money supply under Basel III regulations. Purchases of goods and services from real firms or transfer payments to households as conventional government expenditures (CGEs) inject reserves into banks. Purchases of equity from banks as unconventional government expenditures (UGEs) inject equity into banks. Three Basel III regulations are examined: the capital adequacy ratio, liquidity coverage ratio, and net stable funding ratio. My results demonstrate that the CGE or UGE causes multiplier effects on the credit supply. The multiplier greater (less) than one means that banks amplify (contract) the government expenditure. Multiplier effects on the money supply in response to the CGE or UGE are also presented. My paper sheds considerable light on how government expenditure and bank regulation simultaneously affect the credit and money supply.

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“…On the other hand, the long-lasting socio-economic impact of the global financial crisis has been the main impetus for a conversation about the adequacy of the existing policy responses to the crisis. In particular, a recent debate focused on the adoption, implementation and effectiveness of unconventional policy tools, aimed at achieving both price and financial stability, and able to account for the complex intra-financial interconnections that could affect financial stability ( Balasubramanyan and VanHoose 2013 ; Claessens et al 2013 ; Miles et al 2013 ; Aiyar et al 2014 ; Popoyan et al 2017 ). Among these unconventional policy tools, the expanded Asset Purchase Programme (APP), has been recently implemented by the European Central Bank (ECB).…”

Section: Introductionmentioning

confidence: 99%

A multiplex financial network approach to policy evaluation: the case of euro area Quantitative Easing

Perillo

Battiston

2018

Appl Netw Sci

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Over the last decades, both advanced and emerging economies have experienced astriking increase in the intra-financial activity across different asset classes and increasingly complex contract types, leading to a far more complex financial system. Until the 2007-2008 crisis, the increased financial intensity and complexity was believed beneficial in making the financial system more resilient and less vulnerable to shocks. However, in 2007-2008, the advanced economies suffered the biggest financial crisis since the 1930s, followed by a severe post-crisis recession, questioning the adequacy of traditional tools in predicting, explaining, and responding to periods of financial distress. In particular, the effect of complex interconnections among financial actors on financial stability has been widely acknowledged. A recent debate focused on the effects of unconventional policies aimed at achieving both price and financial stability. Among these unconventional policies, Quantitative Easing (QE, i.e., the large-scale asset purchase programme conducted by a central bank upon the creation of new money) has been recently implemented by the European Central Bank (ECB). In this context, two questions deserve more attention in the literature. First, to what extent, the resources provided to the banking system through QE are transmitted to the real economy. Second, to what extent, the QE may also alter the pattern of intra-financial exposures and what are the implications in terms of financial stability. Here, we address these two questions by developing a methodology to map the multilayer macro-network of financial exposures among institutional sectors across financial instruments (i.e., loans and deposits, debt securities, and equity), and we illustrate our approach on recently available data. We then test the effect of the implementation of ECB’s QE on the time evolution of the financial linkages in the multilayer macro-network of the euro area, as well as the effect on macroeconomic variables, such as consumption, investment, unemployment, growth, and inflation.Electronic supplementary materialThe online version of this article (10.1007/s41109-018-0098-8) contains supplementary material, which is available to authorized users.

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Bank Balance Sheet Dynamics under a Regulatory Liquidity-Coverage-Ratio Constraint

Cited by 6 publications

References 0 publications

Modeling Emergence of the Interbank Networks

Modeling Emergence of the Interbank Networks

When Government Expenditure Meets Bank Regulation: The Impact of Government Expenditure on Credit Supply

A multiplex financial network approach to policy evaluation: the case of euro area Quantitative Easing

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