| Description |
1 online resource (32 pages) : color charts |
| Series |
IMF working paper ; WP/12/29 |
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IMF working paper ; WP/12/29.
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| Contents |
Cover; Abstract; Contents; I. Introduction; II. Related Literature and Empirical Hypotheses; III. Data and Target Variables; A. Indicators of Bank Liquidity and Leverage; B. Global Banks Versus Domestic Banks; C. Bank Failure; IV. Empirical Approach and Quantitative Results; A. Stylized Facts; B. Baseline Regressions; C. Are There Threshold Effects at Play?; D. Are There Differences Across Bank Types?; V. Robustness Check; VI. Concluding Remarks; VII. References; Figures; 1. Evolution of Structural Liquidity and Leverage Before the Crisis, 2001-07 |
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2. Evolution of Structural Liquidity and Leverage by Failed and Non-Failed Banks3. Distributions of Pre-Crisis Liquidity and Leverage across Failed and Non-Failed; Tables; 1. Stylized Balance-Sheet and Weights to Compute the NSFR; 2. Sample Coverage by Region and Type; 3. Summary Statistics of Selected Variables, 2001-07; 4. Pairwise Correlations Between Selected Variables, 2001-07; 5. Baseline Regressions; 6. Estimates of the Marginal Impact on the Probabilities of Default; 7. Probit Regressions by Sub-Samples of Liquidity and Leverage; 8. Regressions by Bank Types |
| Summary |
This paper analyzes the evolution of bank funding structures in the run up to the global financial crisis and studies the implications for financial stability, exploiting a bank-level dataset that covers about 11,000 banks in the U.S. and Europe during 2001-09. The results show that banks with weaker structural liquidity and higher leverage in the pre-crisis period were more likely to fail afterward. The likelihood of bank failure also increases with bank risk-taking. In the cross-section, the smaller domestically-oriented banks were relatively more vulnerable to liquidity risk, while the large cross-border banks were more susceptible to solvency risk due to excessive leverage. The results support the proposed Basel III regulations on structural liquidity and leverage, but suggest that emphasis should be placed on the latter, particularly for the systemically-important institutions. Macroeconomic and monetary conditions are also shown to be related with the likelihood of bank failure, providing a case for the introduction of a macro-prudential approach to banking regulation |
| Notes |
At head of title: European Department |
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Title from PDF title page (IMF Web site, viewed January 25, 2012) |
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"January 2012." |
| Bibliography |
Includes bibliographical references (pages 18-19) |
| Subject |
Financial risk management.
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Bank failures.
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Bank capital.
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Liquidity (Economics)
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Banks and banking -- State supervision.
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Global Financial Crisis, 2008-2009.
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Bank capital
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Bank failures
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Banks and banking -- State supervision
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Financial risk management
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Liquidity (Economics)
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| Form |
Electronic book
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| Author |
Federico, Pablo, author.
|
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International Monetary Fund. European Department, issuing body.
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| ISBN |
9781463940997 |
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1463940998 |
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9781463949525 |
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1463949529 |
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