Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/154282 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
ECB Working Paper No. 1849
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
Based on a sample of EU listed banks, we estimate the sensitivity of banks’ marginal cost of debt and analyse the potential impact of the post-crisis regulatory package. We build synthetic estimates of risk in banks’ books and the macroeconomic environment and argue that regulatory changes alter the transmission of these risks to banks’ market funding costs. To circumvent the fact that new regulations are not observable, we also construct indices for each of the new regulatory packages, (1) capital and leverage, (2) liquidity and funding, and (3) banks’ structural perimeter (which seeks to separate real economy lending form market activities). Those are based on the variables reported insample which are most correlated with the regulatory targets. We find evidence of a dampening effect of banks’ capital base on the transmission of risks to market funding costs: a 1 standard deviation increase in the capital and leverage index reduces the transmission of a 1 standard deviation shock to macroeconomic risk by up to 20 basis points (bps). Based on a different sample and obtained from a different methodology, our results for capital are comparable to those of Babihuga and Spaltro (2014). We also find evidence of a dampening effect for funding and liquidity regulations, with a 1 standard deviation increase in the index reducing the transmission of a 1 standard deviation shock to macroeconomic risk by up to 34 bps. However, we do not reach a clear conclusion regarding the impact of structural perimeter regulations.
Schlagwörter: 
Bank balance sheet
bank funding costs
Bank structural perimeter
Basel III regulations
Capital and leverage
cross section estimates
CRR and CRD IV
dynamic estimates
factor based indices
Funding and liquidity
risk
JEL: 
G01
G21
ISBN: 
978-92-899-1662-2
Dokumentart: 
Working Paper

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