Not Available for Download

Potential Effects of Basel II on the Transmission from Currency Crises to Banking Crises – The Case of South Korea

Journal of Money, Investment and Banking, No. 13, pp. 5-20, 2010

Posted: 6 Jan 2011  

Tobias Knedlik

Halle Institute for Economic Research (IWH)

Johannes Stroebel

New York University (NYU); National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Date Written: January 4, 2011

Abstract

In this paper we evaluate potential effects of the Basel II accord on preventing the transmission from currency crises to banking crises by analyzing the South Korean crisis of 1997. We show that regulatory capital reserves under Basel II would have been lower than those under Basel I, and that therefore Basel II would have had adverse effects on the development of the crisis. Furthermore we investigate whether the behavior of rating agencies has changed since the East Asian crisis. We find no evidence that rating agencies have started to take micro-mismatches into account. Thus, we have reservations concerning the effectiveness of Basel II.

Keywords: Asian Financial Crisis, Bank Portfolios, Currency Mismatch, Maturity Mismatch, Basel II, Credit Ratings

JEL Classification: F3, F40, G15, G28

Suggested Citation

Knedlik, Tobias and Stroebel, Johannes, Potential Effects of Basel II on the Transmission from Currency Crises to Banking Crises – The Case of South Korea (January 4, 2011). Journal of Money, Investment and Banking, No. 13, pp. 5-20, 2010. Available at SSRN: https://ssrn.com/abstract=1734718

Tobias Knedlik (Contact Author)

Halle Institute for Economic Research (IWH) ( email )

P.O. Box 11 03 61
Kleine Maerkerstrasse 8
D-06017 Halle, 06108
Germany

Johannes Stroebel

New York University (NYU) ( email )

Bobst Library, E-resource Acquisitions
20 Cooper Square 3rd Floor
New York, NY 10003-711
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Centre for Economic Policy Research (CEPR) ( email )

77 Bastwick Street
London, EC1V 3PZ
United Kingdom

Paper statistics

Abstract Views
458