Terhi Jokipii and Alistair Milne ()
Additional contact information
Terhi Jokipii: Stockholm School of Economics, Postal: P O Box 6501, SE-113 83 Stockholm, Sweden
Alistair Milne: Bank of Finland and Cass Business School
Abstract: Using an unbalanced panel of accounting data from 1997 to 2004 and controlling for individual bank costs and risk, we find capital buffers of the banks in the EU15 have a significant negative co-movement with the cycle. For banks in the accession countries there is significant positive co-movement. Capital buffers of commercial and savings banks, and of large banks, exhibit negative co-movement. Those of co-operative and smaller banks exhibit positive co-movement. Speeds of adjustment are fairly slow. We interpret these results and discuss policy implications, noting that negative co-movement of capital buffers will exacerbate the procyclical impact of Basel II.
Keywords: Bank capital; bank regulation; business cycle fluctuations
22 pages, July 15, 2007
Full text files
sifr-wp56.pdf
Questions (including download problems) about the papers in this series should be directed to Anki Helmer ()
Report other problems with accessing this service to Sune Karlsson ().
This page generated on 2024-02-05 17:13:34.