Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/74654
Authors: 
Neuberger, Doris
Rissi, Roger
Year of Publication: 
2012
Series/Report no.: 
Thünen-Series of Applied Economic Theory 124
Abstract: 
The macroprudential regulatory framework of Basel III imposes the same capital and liquidity requirements on all banks around the world to ensure global competitiveness of banks. Using an agent-based model of the financial system, we find that this is not a robust framework to achieve (inter)national financial stability, because efficient regulation has to embrace the economic structure and behaviour of financial market participants, which differ from country to country. Market-based financial systems do not profit from capital and liquidity regulations, but from a ban on proprietary trading (Volcker rule). In homogeneous or bank-based financial systems, the most effective regulatory policy to ensure financial stability depends on the stability measure used. Irrespective of financial system architecture, direct restrictions of banks†investment portfolios are more effective than indirect restrictions through capital, leverage and liquidity regulations.
Subjects: 
financial stability
systemic risk
financial system
banking regulation
agent-based model
JEL: 
C63
G01
G11
G21
G28
Document Type: 
Working Paper

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