Bank Regulation under Fire Sale Externalities

Kara, Gazi İshak; Ozsoy, S. Mehmet

doi:10.1093/rfs/hhz117

Cited by 41 publications

(17 citation statements)

References 70 publications

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“…(2018) find that U.S. banks with assets less than USD1 billion treated liquidity and capital as substitutes in response to negative capital shocks. In contrast, Faia (2018) and Kara and Ozsoy (2019) conclude that they are complementary. The former explain that equity requirements reduce banks' solvency region, while liquidity coverage ratios reduce the illiquidity region.…”

Section: Literature Reviewmentioning

confidence: 97%

Determinants of Banks’ Liquidity: A French Perspective on Interactions between Market and Regulatory Requirements

Bandt

lecarpentier²,

Pouvelle

2020

SSRN Journal

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The paper investigates the impact of solvency and liquidity regulation on banks' balance sheet structure. The Covid-19 pandemics shows that periods of sharp increase in risk aversion often result in liquidity strains for banks due to the volatility of long-term funding markets. According to a simple portfolio allocation model banks' liquidity increases when the regulatory constraint is binding. We provide evidence, using the "liquidity coefficient" implemented in France ahead of Basel III's Liquidity Coverage Ratio, of a positive effect of the solvency ratio on the liquidity coefficient. We also show that in times of crisis, measured by financial variables, French banks actually decreased the liquidity coefficient, with the transmission channel materialising mainly on the liability side.

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Section: Literature Reviewmentioning

confidence: 97%

Determinants of Banks’ Liquidity: A French Perspective on Interactions between Market and Regulatory Requirements

Bandt

lecarpentier²,

Pouvelle

2020

SSRN Journal

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“…The objectives of the capital reforms are to increase quality, consistency, and the transparency of capital, so as to enhance the risk coverage framework and to reduce systemic and pro-cyclical risk. Proposing a more sensitive methodology to the extreme and unanticipated fluctuations in the market, the Basel III regulations will thus help to improve management and governance, and it will strengthen banks' transparency and disclosures (BCBS, 2015) and improve financial stability, and allow for more investment in risky assets (Kara & Ozsoy, 2020).…”

Section: Institutional Setting: Basel III Pillar Requirementsmentioning

confidence: 99%

Determinants of Basel III Risk Disclosures: The Case of Gulf Cooperation Council Public Banks

Saidi¹

2022

AJBA

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Manuscript Type: Research paper Research aims: The purpose of this paper is to investigate and examine the determinants of risk disclosure practices under Basel 3, Pillar 3 (revised 2016 version) requirements of the top 50 listed banks in the Gulf Countries region (GCC). The study covers the period 2016-2019. Design/Methodology/Approach: The present study is based on a content analysis approach to allow the measurement of risk disclosures. Six risk disclosure categories were identified as the major sections regarding this particular type of reporting. The analysis covers both quantitative and qualitative data that had been hand collected from the annuals reports and Pillar 3 risk disclosures reports. From a regulatory perspective, the study refers to the most relevant international accounting standards, namely, Basel III Agreement Pillar 3 (2016 revised version), and IFRS 7. Research findings: It is expected that the GCC major banks, even though they must comply with the same risk disclosure regulation, will demonstrate specific disparities in their risk reporting. The results of the study suggest that Basel III risk reporting is significantly determined by size, leverage, cross listing, and government ownership. Theoretical contributions/Originality: The present study contributes to the literature by documenting the level of compliance of the top GCC banks with the recent BCBS risk disclosure requirements, and by providing empirical evidence regarding the quality of the released risk disclosures and its potential determinants. Another major contribution of the paper is the development of a self-constructed disclosure index that reflects the most recent Basel III disclosure regulations (Pillar 3, 2016 version). Practical implications: The findings of this study could be appreciated from different angles. From a regulatory perspective, this study might be insightful to GCC baking regulators in term of developing appropriate policies that will bring the banks to responsibly and professionally adopt an acceptable level of risk disclosure. At the global level, the findings could be insightful to the IASB concerning the degree of compliance of the banks in the region with IFRSs related to risk reporting. Thus, it can help the IASB consider institutional differences among countries when revising its pronouncements. Research limitations/Implications: The findings of the present study would be understood in light of some limitations. First, in the present study, we considered only the top 50 GCC listed banks, which could impede the generalisation of the results from the content analysis and the regression on the rest of the banks in the region. Second, we were interested in this research about the implementation of the new 2016 market discipline Pillar 3 disclosures requirement. Expanding the time frame of the study could reveal additional insights into risk disclosure practices. Keywords: Corporate Risk Disclosures Basel Committee on Banking Supervision (BCBS), Basel III, Pillar 3, Market Discipline, IFRS 7, Gulf Cooperation Council (GCC) JEL Classification: G21,G28,G32,G34,G38

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“…He, Khang, and Krishnamurthy Introducing the importance of the Basel III committee rules regulating the liquidity of commercial banks in the crisis. Find that despite its importance there is no consensus on how to measure liquidity [9]. S. Fleming [4] notes that across its many liquidity facilities, the Federal Reserve provided over $1.5 trillion of liquidity support during the crisis [5].…”

Section: Literature Reviewmentioning

confidence: 99%

The Impact of Prudential Regulation on Jordanian Banks Liquidity

Mustafa¹

2020

IJBER

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Bank Regulation under Fire Sale Externalities

Cited by 41 publications

References 70 publications

Determinants of Banks’ Liquidity: A French Perspective on Interactions between Market and Regulatory Requirements

Determinants of Banks’ Liquidity: A French Perspective on Interactions between Market and Regulatory Requirements

Determinants of Basel III Risk Disclosures: The Case of Gulf Cooperation Council Public Banks

The Impact of Prudential Regulation on Jordanian Banks Liquidity

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