Tài liệu Capital requirements and bank behaviour: The impact of the basle accord

CAPITAL REQUIREMENTS AND BANK BEHAVIOUR: THE IMPACT OF THE BASLE ACCORD


by a working group led by:


Patricia Jackson


and participation from:


Craig Furfine
Hans Groeneveld
Diana Hancock
David Jones
William Perraudin
Lawrence Radecki
Masao Yoneyama


BANK FOR INTERNATIONAL SETTLEMENTS
Basle, Switzerland
BASLE COMMITTEE ON BANKING SUPERVISION
WORKING PAPERS


No. 1 – April 1999


CAPITAL REQUIREMENTS AND BANK BEHAVIOUR:
THE IMPACT OF THE BASLE ACCORD


by a working group led by:


Patricia Jackson


and participation from:*


Craig Furfine
Hans Groeneveld
Diana Hancock
David Jones
William Perraudin
Lawrence Radecki
Masao Yoneyama


Abstract


The paper reviews the empirical evidence on the impact of the 1988 Basle Accord.
It focuses on whether the adoption of fixed minimum capital requirements led
some banks to maintain higher capital ratios than would otherwise have been the
case and whether any increase in ratios was achieved by increasing capital or
reducing lending. Moreover, it addresses whether fixed capital requirements have
been successful in limiting risk-taking relative to capital as intended, or whether
banks have been able to take actions to reduce their effectiveness, either by shifting
to riskier assets within the same weighting band or through capital arbitrage. It
looks at two possible side effects. Firstly, whether in some periods capital
requirements may have had the effect of constraining bank lending thereby causing
a credit crunch. Secondly, whether the introduction of fixed minimum requirements
for banks affected their competitiveness relative to other forms of intermediation.


*
For this paper support and drafting were provided by various members of the Bank of England staff, in particular Tolga
Ediz and Andy Logan.