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Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
WWZ Working Paper No. 2017/11
Verlag: 
University of Basel, Center of Business and Economics (WWZ), Basel
Zusammenfassung: 
This paper extends the analysis of Junge and Kugler (2013) on the effects of increased capital requirements on Swiss GDP and obtains the following main results: First the Modigliani-Miller effect is robust with respect to a substantial extension of the data base and yields an offset of capital cost of 46 percent. Second, the Translog production function estimate results in a time-varying elasticity of production with respect to the price of capital between 0.34 and 0.27, which is substantially lower than the value of 0.43 found in the earlier CES framework. Third the unweighted capital (leverage) ratio for Swiss G-SIBs is approximately 6 percent for Basel III Tier1 and 4.3 percent for CET1. This corresponds to risk-weighted capital ratios of 17 to 20 percent and 13 to 15 percent, respectively. The estimates show that the recently revised Swiss Too-Big-To-Fail capital ratios for G-SIBs are about 30 percent smaller than the optimal levels. However, the oft-debated proposal to raise the equity-to-asset ratio to 20 to 30 percent is not warranted by our analysis.
Schlagwörter: 
Financial regulation
Bank equity capital requirements
Capital structure
Elasticity of substitution
Translog production function
JEL: 
G21
G28
E20
E22
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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