|
EconStor >
Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/19765
|
| | |
| Title: | | How do banks adjust their capital ratios? Evidence from Germany  |
| Authors: | | Memmel, Christoph Raupach, Peter |
| Issue Date: | | 2007 |
| Series/Report no.: | | Discussion Paper, Series 2: Banking and Financial Supervision 2007,06 |
| Abstract: | | We analyze the dynamics of banks' regulatory capital ratios. Using monthly data of regulatory capital ratios for a subset of large German banks, we estimate the target level and the adjustment speed of the capital ratio for each bank separately. We find evidence that, first, there exists a target level for a substantial percentage of banks; second, that private banks and banks with liquid assets are more likely to adjust their capital ratio tightly; and third, that banks compensate for low target capital ratios with low asset volatilities and high adjustment speeds. Fourth, banks with a target capital ratio seem to use an internal lower limit for their current ratios that is just above the regulatory minimum of 8%. |
| Subjects: | | Regulatory bank capital target capital ratio partial adjustment Ornstein-Uhlenbeck process |
| JEL: | | G32 G21 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/19765
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|