Data di Pubblicazione:
2024
Citazione:
The effects of stress testing on US banks' off‐balance sheet activities / G. Calice, F. Savoia. - In: FINANCIAL MARKETS, INSTITUTIONS & INSTRUMENTS. - ISSN 0963-8008. - (2024), pp. 1-29. [10.1111/fmii.12196]
Abstract:
This paper investigates the effects of the new post-financial
crisis regulatory regime – risk-based capital ratios (RBC)
and stress tests – on banks’ off-balance sheet activities
(OBS). We use a panel of US bank holding companies over
the period 2001–2018 to examine the relationship between
banks’ capital levels and OBS activities. Our major finding is
that banks significantly reduced their OBS exposure follow-
ing the introduction of the new capital regulatory framework
requirements. In particular, we show that tighter regulatory
RBC resulted in a reduction of OBS activities in well-
capitalised banks. Conversely, we find that under-capitalised
banks increased their OBS activities, which suggests the
possibility of regulatory arbitrage.
Tipologia IRIS:
01 - Articolo su periodico
Keywords:
Bank regulation; Banks; Basel III; Off-balance sheet activities; Stress tests
Elenco autori:
G. Calice, F. Savoia
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