The G-20 regulatory agenda and bank risk
Matías Cabrera (),
Gerald P. Dwyer () and
María J. Nieto ()
Additional contact information
Matías Cabrera: BBVA Research
Gerald P. Dwyer: Clemson University, Clemson SC
María J. Nieto: Banco de España
No 1829, Working Papers from Banco de España, Working Papers Homepage
Using international listed banks from the United States, Europe, Japan and China from 2004 to 2014, we analyse the effect on bank risk of some of the most relevant new elements of the prudential regulatory framework proposed in the wake of the Great Financial Crisis. We measure risk by a market measure, namely the volatility of banks’ stock returns. We also examine the effect of government support during the financial crisis and of designation as a G-SIB. We find little support for an association with government support and none for a negative relationship. We find support for a positive effect of designation as a G-SIB on risk. We find a positive association with securities trading and a negative association with capital. Banks’ chosen liquidity is unimportant for this measure of risk.
Keywords: banks; regulation; financial crisis. (search for similar items in EconPapers)
JEL-codes: G21 G38 G01 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1829
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