The G-20 Regulatory Agenda and Bank Risk

40 Pages Posted: 10 Sep 2018

See all articles by Matias Cabrera

Matias Cabrera

BBVA

Gerald P. Dwyer

Clemson University; Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)

Maria Nieto

Banco de España

Date Written: September 5, 2018

Abstract

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

JEL Classification: G21, G38, G01

Suggested Citation

Cabrera, Matias and Dwyer, Gerald P. and Nieto, Maria J., The G-20 Regulatory Agenda and Bank Risk (September 5, 2018). Banco de Espana Working Paper No. 1829. Available at SSRN: https://ssrn.com/abstract=3244452 or http://dx.doi.org/10.2139/ssrn.3244452

Matias Cabrera (Contact Author)

BBVA ( email )

Madrid
Spain

Gerald P. Dwyer

Clemson University ( email )

Department of Economics
Clemson University
Clemson, SC 29634
United States

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA) ( email )

ANU College of Business and Economics
Canberra, Australian Capital Territory 0200
Australia

Maria J. Nieto

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
20
Abstract Views
304
PlumX Metrics