 On the interaction between different bank liquidity requirementsMarkus Behn, Renzo Corrias and Magdalena Rola-Janicka Macroprudential Bulletin, 2019, vol. 9 Abstract: The post-crisis regulatory framework introduced multiple requirements on banks’ capital and liquidity positions, sparking a discussion among policymakers and academics on how the various requirements interact with one another. This article contributes to the discussion on the interaction of different regulatory metrics by empirically examining the interaction between the liquidity coverage ratio (LCR) and the net stable funding ratio (NSFR) for banks in the euro area. The findings suggest that the two liquidity requirements are complementary and constrain different types of banks in different ways, similarly to the risk-based and leverage ratio requirements in the capital framework. This dispels claims that the LCR and the NSFR are redundant and underlines the need for a faithful and consistent implementation of both measures (and the entire Basel III package more broadly) across all major jurisdictions, to maintain a level playing field at the global level and to ensure that the post-crisis regulatory framework delivers on its objectives. JEL Classification: G01, G18, G21, G28 Keywords: interaction of requirements; LCR; liquidity coverage ratio; liquidity requirements; net stable funding ratio; NSFR (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbmbu:2019:0009:2 Access Statistics for this article More articles in Macroprudential Bulletin from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC. |
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