Title:

Macro- and microprudential regulations and their effects on procyclicality of solvency and liquidity risk

Group publication title:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

Creator:

Olszak, Małgorzata ; Kowalska, Iwona

Subject and Keywords:

leverage ; liquidity ; procyclicality ; macroprudential policy ; microprudential regulations ; dźwignia ; płynność ; procykliczność ; polityka makroostrożnościowa ; regulacje mikroostrożnosciowe

Description:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu = Research Papers of Wrocław University of Economics, 2017, Nr 482, s. 201-215

Abstrakt:

This paper aims to identify the effect of macroprudential policies andmicroprudential regulations and their interactions on the sensitivity of leverage andliquidity funding risk to the business cycle. Analysing the sample of 782 banks we find thatboth macroprudential and microprudential instruments have insignificant impact on theprocyclicality of leverage in the non-crisis period. Macroprudential instruments decrease theprocyclicality of liquidity risk during the non-crisis period and increase the procyclicalityof leverage during the crisis. Restrictions on the range of activities conducted by banksreduce the procyclicality of liquidity risk during the non-crisis period. Interaction betweenthe macroprudential instruments targeted at risk-taking by borrowers and restrictions on therange of activities taken by banks has been found to be effective in reducing the procyclicalityof leverage during the crisis period

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2017

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/pn.2017.482.16

Language:

eng

Relation:

Wrocław Conference in Finance: Contemporary Trends and Challenges ; Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu = Research Papers of Wrocław University of Economics; 2017; Nr 482

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu