Please use this identifier to cite or link to this item:
Krug, Sebastian
Lengnick, Matthias
Wohltmann, Hans-Werner
Year of Publication: 
Series/Report no.: 
Economics Working Paper No. 2014-13
The Basel III accord reacts to the events of the recent financial crisis with a combination of revised micro- and new macroprudential regulatory instruments to address various dimensions of systemic risk. This approach of cumulating requirements bears the risk of individual measures negating or even conflicting with each other which might lessen their desired effects on financial stability. We provide an analysis of the impact of Basel III's main components on financial stability in a stock-flow consistent (SFC) agent-based computational economic (ACE) model. We find that the positive joint impact of the microprudential instruments is considerably larger than the sum of the individual contributions to stability, i.e. the standalone impacts are non-additive. However, except for the buffers, the macroprudential overlay's impact is either marginal or even destabilizing. Despite its simplicity, the leverage ratio performs poorly especially when associated drawbacks are explicitly taken into account. Surcharges on SIBs seem to rather contribute to financial regulations complexity than to the resilience of the system.
Banking Supervision
Basel III
Liquidity Coverage Ratio
Macroprudential Regulation
Financial Instability
Agent-based Computational Economics
Document Type: 
Working Paper

Files in This Item:
579.67 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.