| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4813 |
| DP4813 Can Buybacks Be A Product of Shorter Shareholder Horizons? | |
| Pedro Pinto Matos; Massimo Massa; José-Miguel Gaspar; Rajdeep Patgiri | |
| 发表日期 | 2004-12-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | This Paper analyses the determinants of regulatory capital (the minimum required by regulation) and economic capital (the capital that shareholders would choose in absence of regulation) in the context of the single risk factor model that underlies the New Basel Capital Accord (Basel II). The results show that economic and regulatory capital do not depend on the same set of variables and do not react in the same way to changes in their common determinants. For plausible parameter values, they are both increasing in the loans? probability of default and loss given default, but variables that affect economic but not regulatory capital, such as the intermediation margin and the cost of capital, can move them significantly apart. The results also show that market discipline, proxied by the coverage of deposit insurance, increases economic capital, although the effect is generally small. |
| 主题 | Financial Economics |
| 关键词 | Bank regulation Capital requirements Market discipline Credit risk Basel ii |
| URL | https://cepr.org/publications/dp4813 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533723 |
| 推荐引用方式 GB/T 7714 | Pedro Pinto Matos,Massimo Massa,José-Miguel Gaspar,et al. DP4813 Can Buybacks Be A Product of Shorter Shareholder Horizons?. 2004. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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