Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/173442 
Authors: 
Year of Publication: 
2017
Series/Report no.: 
MNB Working Papers No. 2017/3
Publisher: 
Magyar Nemzeti Bank, Budapest
Abstract: 
This paper provides a framework to examine the potential balance sheet adjustments of individual financial institutions for complying with the NSFR liquidity requirement. The suggested approach, which is also flexible enough to be applied in assessing the potential balance sheet impact of other regulatory proposals affecting the balance sheet of financial institutions, is an optimum model of bank behaviour, in which a bank statically rearranges its observed balance sheet by maximizing its profit with respect to constraints representing the balance sheet equality and various regulatory measures. According to our results, banks react to the introduction of the NSFR by strongly increasing their high-quality liquid assets, as well as fundamentally altering their short-term interbank funding to long-term. In addition, assuming no market frictions in the market for long-term funding from financial institutions, lending to the real economy decreases rather moderately as a consequence of the measure.
Subjects: 
NSFR
liquidity regulation
optimisation
Basel III
JEL: 
C33
C36
C61
G21
G28
Document Type: 
Working Paper

Files in This Item:
File
Size





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