Are capital buffers pro-cyclical? Evidence from Spanish panel data

Journal of Financial Intermediation

Volumn 13, Issue 2, 2004, Pages 249-264

  Ayuso, Juan ^a   Pérez, Daniel ^a   Saurina, Jesús ^a  

^a BANCO DE ESPAÑA   (Spain)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 11144354790     PISSN: 10429573     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1042-9573(03)00044-5     Document Type: Article

References (31)

1. Acharya, S., 1996. Charter value, minimum bank capital requirements and deposit insurance pricing in equilibrium. J. Banking Finance 20, 351-375.
2. Arellano, M., Bond, S., 1991. Some test of specification for panel data: Monte Carlo evidence and application to employment equations. Rev. Econ. Stud. 58, 277-297.
3. Arellano, M., Bond, S., 1988. Dynamic panel data estimation using DPD. A guide for users. Working paper 88/15. The Institute for Fiscal Studies.
4. Basel Committee on Banking Supervision (BCBS), 2001. Review of Procyclicality. Mimeo. Research Task Force.
5. Berger, A.N., Udell, G.F., 1994. Did risk-based capital allocate bank credit and cause a "credit crunch" in the United States? J. Money, Credit, Banking 26 (3), 227-308.
6. Berger, A.N., 1995. The relationship between capital and earnings in banking. J. Money, Credit, Banking 27 (2).
7. Berger, A.N., Herring, R.J., Szegö, G.P., 1995. The role of capital in financial institutions. J. Banking Finance 19, 393-430.
8. Borio, C., Furfine, C., Lowe, P., 2001. Procyclicality of the financial system and financial stability: issues and policy options. BIS papers 1, 1-57.
9. Campbell, T.S., 1979. Optimal investment financing decisions and the value of confidentiality. J. Finan. Quant. Anal. 14, 913-924.
10. Crockett, A., 2001. Market discipline and financial stability. In: Financial Stability Review. Bank of England, pp. 166-173.
11. Daníelsson, J., Embrechts, P., Goodhart, C., Keating, C., Muennich, F., Renault, O., Song Shin, H., 2001. An Academic Response to Basel II. Special paper 130. Financial Markets Group, London School of Economics.
12. DNB, 2001. Towards a new Basel Capital Accord. Quarterly Bulletin, 48-54.
13. ECB, 2001. The new capital adequacy regime - the ECB perspective. Monthly Bulletin (May), 59-74.
14. ECB, 1999. Possible effects of EMU on the EU banking systems in the medium to long term. February.
15. Estrella, A., 2001. The cyclical behaviour of optimal bank capital. Mimeo.
16. Esty, B.C., 1997. Organizational form and risk taking in the savings and loan industry. J. Finan. Econ. 44, 25-55.
17. Froot, K.A., Stein, J.C., 1998. Risk management, capital budgeting and capital structure policy for financial institutions: an integrated approach. J. Finan. Econ. 47, 55-82.
18. Furfine, C., 2000. Evidence on the response of US banks to changes in capital requirements. BIS working paper 88.
19. Gorton, G., Rosen, R., 1995. Corporate control, portfolio choice, and the decline of banking. J. Finan. Lit. 5, 1377-1400.
20. Jackson, P., 1999. Capital requirements and bank behaviour: the impact of the Basel accord. Working paper No. 1. Basel Committee on Banking Supervision.
21. Keeley, M.C., 1990. Deposit insurance, risk, and market power in banking. Amer. Econ. Rev. 5, 1183-1200.
22. Kwan, S., Eisenbeis, R.A., 1997. Bank risk, capitalization, and operating efficiency. J. Finan. Services Research 12, 117-131.
23. Mann, F., Michael, I., 2002. Dynamic provisioning: issues and applications. In: Rev. Finan. Stability (December) Bank of England, pp. 128-141.
24. McNally, W.J., 1999. Open market stock repurchase signalling. Financial Management 28, 55-67.
25. Myers, S.C., Majluf, N.S., 1984. Corporate financing and investment decisions when firms have information that investors do not have. J. Finan. Econ. 13, 187-221.
26. Rajan, R., 1994. Why bank credit policies fluctuate: a theory and some evidence. Quart. J. Econ. CIX (2), 399-441.
27. Salas, V., Saurina, J., 2002a. Deregulation, market power and risk taking in Spanish banks. European Econ. Rev. In press.
28. Salas, V., Saurina, J., 2002b. Credit risk in two institutional regimes: Spanish commercial and savings banks. J. Finan. Services Res. 22 (3), 203-224.
29. Saunders, A., Strock, E., Travlos, N.G., 1990. Ownership structure, deregulation, and bank risk taking. J. Finance 48 (2), 643-654.
30. Wall, L.D., Peterson, D.R., 1995. Bank holding company capital targets in the early 1990s: the regulators versus the markets. J. Banking Finance 19, 563-574.
31. Winter, R.A., 1994. The dynamics of competitive insurance markets. J. Finan. Intermediation 3, 379-415.