Impact of the risk-based bank capital standards : a multinational analysis /
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| Other Authors: | , , , |
| Format: | Thesis Book |
| Language: | English |
| Published: |
1991.
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| Subjects: | |
| Online Access: | Link to OAKTrust copy |
| Abstract: | This study examined the impact of risk-based bank capital regulations on multinational banks of the Group of Ten(G-10) countries. The analysis focused on four regulatory announcements beginning with the U.S. Federal Reserve Board's proposal in January 1986, and culminates with the signing of the Basle Accord by the G-10 members in July 1988. The sample used here consists of banks from the G-10 nations, and Switzerland and Luxembourg. First, an event study analysis using the Seemingly Unrelated Regressions(SUR) methodology was performed to measure any announcement-related wealth effects on the stocks of the sample banks. Results revealed that only the initial proposal by the U.S. Federal Reserve produced a significant effect on the stock prices of both U.S. and non U.S. banks. Subsequent regulatory announcements appeared to reveal no new information to the market. The second part of the study deals with the relationship of the balance sheet structure of the sample banks at the time of the announcements to the cumulative residuals accrued during the event period. Finally, a regression analysis was done to test the market reaction to regulation-induced portfolio behavior of banks. Both U.S. and foreign banks are striving to restructure their assets. Other approaches, such as increasing fee income, or reducing dividends, and emphasizing low risk assets, appear to generate favorable market reaction. Very little market reaction was associated with changes in the level of equity or subordinated debt capital. The results, although not very revealing at this early stage of the implementation of the Basle standards, nevertheless highlights some trends in the bank strategies and have interesting implications for bank management and shareholders. |
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| Item Description: | Typescript (photocopy). Vita. "Major subject: Finance." |
| Physical Description: | x, 132 leaves ; 29 cm |
| Bibliography: | Includes bibliographical references. |