Modelling bank leverage and financial fragility under the new minimum leverage ratio of Basel III regulation

Olivier Bruno, Andre Cartapanis and Eric Nasica ()
Additional contact information
Eric Nasica: COMUE UCA - COMUE Université Côte d'Azur (2015-2019), UNS - Université Nice Sophia Antipolis (... - 2019) - COMUE UCA - COMUE Université Côte d'Azur (2015-2019), GREDEG - Groupe de Recherche en Droit, Economie et Gestion - UNS - Université Nice Sophia Antipolis (... - 2019) - COMUE UCA - COMUE Université Côte d'Azur (2015-2019) - CNRS - Centre National de la Recherche Scientifique - UCA - Université Côte d'Azur

Post-Print from HAL

Abstract: We analyse the determinants of banks' balance sheet and leverage ratio dynamics, and its role in increasing financial fragility. Our results are twofold. First, we show there exists a value of bank leverage minimising financial fragility. Second, this value depends on the overall business climate and the expected value of the collateral provided by firms. Based on our findings, we argue that an adjustable leverage ratio restriction dependent on economic conditions would be preferable to the fixed ratio included in the new Basel III regulation.

Keywords: Bank leverage; leverage ratio; financial fragility; prudential regulation (search for similar items in EconPapers)
Date: 2018-08-01
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-01870797
References: Add references at CitEc
Citations: Track citations by RSS feed

Published in Finance, Revue de l'Association Française de Finance, 2018, Finance 2017/3, 38 (3), pp.45-84

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Modelling bank leverage and financial fragility under the new minimum leverage ratio of Basel III regulation (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01870797

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().