دانلود رایگان مقاله انگلیسی نسبت سرمایه و نقدینگی و اختلال مالی. صنعت بانکداری اروپا - الزویر 2017

Abstract

Using a large bank-level dataset, we test the relevance of both structural liquidity and capital ratios as defined in Basel III on banks’ probability of failure. To include all relevant episodes of bank failure and distress (F&D) occurring in the EU-28 member states over the past decade, we develop a broad indicator that includes information not only on bankruptcies, liquidations, under receivership and dissolved banks, but also accounts for state interventions, mergers in distress and EBA stress test results. Estimates from several versions of the logistic probability model indicate that the likelihood of failure and distress decreases with increased liquidity holdings, while capital ratios are significant only for large banks. Our results provide support for Basel III’s initiatives on structural liquidity and for the increased regulatory focus on large and systemically important banks.

Conclusions

The global financial crisis highlighted the risks of maturity mismatches and unstable funding mix on banks’ balance sheets. This has lead to changes in the regulatory and supervisory frameworks governing bank liquidity. In addition, the combined role of structural liquidity and capital cushions under Basel III aims to reduce potential bank distress and promote financial stability. Despite the prolonged period of financial instability, unlike in the US, outright bank failures have been rare in Europe. To evaluate the impact of Basel III structural liquidity and capital ratios on bank stability, in this paper we utilise a broader definition of failure and distress to include banks under receivership, bankrupt, dissolved, or in liquidation. If a bank was ‘dissolved by merger’ we classify it as F&D banks only if the merger was driven by distress. Finally, we incorporate information on state aid and, for large banks, information on EBA stress tests. These criteria allow us to test the relationship between structural liquidity and capital ratios as introduced by Basel III on banks’ probability of default. The results of the analysis are of particular interest to both academics and policy makers as they contribute to the current debate on the effectiveness of the combined role of Basel III structural liquidity and capital cushions in promoting bank stability, Contrary to expectations, we find that capital and liquidity ratios play a complementary role in fostering bank stability only for the largest banks. When considering all banks our results indicate.