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Assessing the Impact of Basel III: Evidence from Structural Macroeconomic Models

Olivier de Bandt, Bora Durdu, Hibiki Ichiue (), Yasin Mimir (), Jolan Mohimont, Kalin Nikolov, Sigrid Roehrs, Jean-Guillaume Sahuc, Valerio Scalone and Michael Straughan
Authors registered in the RePEc Author Service: Sigrid Röhrs ()

Working papers from Banque de France

Abstract: This paper reviews the different channels of transmission of prudential policy highlighted in the literature and provides a quantitative assessment of the impact of Basel III reforms using “off-the-shelf” DSGE models. It shows that the effects of regulation are positive on GDP whenever the costs and benefits of regulation are both introduced. However, this result may be associated with a temporary economic slowdown in the transition to Basel III, which can be accommodated by monetary policy. The assessment of liquidity requirements is still an area for research, as most models focus on costs, rather than on benefits, in particular in terms of lower contagion risk.

Keywords: Basel III Reforms; DSGE Models; Solvency Requirements; Liquidity Requirements (search for similar items in EconPapers)
JEL-codes: E3 E44 G01 G21 G28 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2022
New Economics Papers: this item is included in nep-cba, nep-cwa, nep-fdg, nep-his, nep-mac, nep-mon and nep-rmg
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