Has Regulatory Capital Made Banks Safer? Skin in the Game vs Moral Hazard

Ernest Dautović

Cahiers de Recherches Economiques du Département d'économie from Université de Lausanne, Faculté des HEC, Département d’économie

Abstract: The paper evaluates the impact of macroprudential capital regulation on bank capital, risk taking behaviour, and solvency. The identication relies on an exogenous policy change in bank-level capital requirements across systemically important banks in Europe. A one percentage point hike in capital requirements leads to anaverage CET1 capital level increase of 13 percent improving their loss absorption capacity.

Keywords: capital requirements; risk-taking; moral hazard; macroprudential policy (search for similar items in EconPapers)
JEL-codes: E51 G21 O52 (search for similar items in EconPapers)
Pages: 62 pp.
Date: 2019-06
New Economics Papers: this item is included in nep-cba, nep-mac, nep-ore and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Has regulatory capital made banks safer? Skin in the game vs moral hazard (2020)
Working Paper: Has regulatory capital made banks safer? Skin in the game vs moral hazard (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:lau:crdeep:19.03

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