Are capital buffers pro-cyclical?: Evidence from Spanish panel data

By J. Ayuso, Daniel Pérez, Jesús Saurina. 2002

446 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/931a7079503e0256d90cb7d619fc91f0902eb4a2

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Citations in the corpus

Bank competition, crisis and risk taking: Evidence from emerging markets in Asia (2013, unknown): “Previous literature on the business cycle theory suggests that during a downturn period due to a financial crisis, banks are likely to become more risk-averse by reducing loan extension and thus by building up capital ratios (Borio et al., 2001; Ayuso et al., 2004; Jokipii and Milne, 2008).”
Bank Market Power, Economic Growth and Financial Stability: Evidence from Asian Banks (2011, unknown): “In this sense our work is also related to the literature on the procyclicality of bank capital buffer, showing that banks hold lower capital as economic growth increases (Ayuso et al, 2004; Jokipii and Milne, 2008).”
Macroeconomic Propagation Under Different Regulatory Regimes: Evidence From an Estimated DSGE Model For the Euro Area (2010, unknown): “17There is a rich literature providing evidence that banks operate with substantial capital buffers; for some recent studies see, e.g., Ayuso, Pérez, and Saurina (2004), Bikker and Metzemakers (2004), Berger et al. (2008), Stolz and Wedow (2005), and Gropp and Heider (2010). implying that banks…”
The Determinants of Bank Capital Structure (2010, unknown): “associated with having to issue fresh equity at short notice ( Ayuso et al., 2004, and Peura and”
Banking Competition and Capital Ratios (2007, unknown): “Ayuso et al. (2004) offer evidence that larger banks hold lower levels of capital. This finding is aligned with Demsetz and Strahan (1997) who report that larger intermediaries are better able to benefit from diversification and therefore operate with lower capital ratios.”
Bank Capital Ratios Across Countries: Why Do They Vary? (2008, unknown): “Barrios and Blanco (2003), Ayuso et al. (2004) , and Peura and Keppo (2006) provide formal models of the determination of such a buffer.”
Bank regulatory capital and liquidity: Evidence from US and European publicly traded banks (2013, methodology): “However, an increase in this ex post measure of risk could lower the regulatory capital ratio, given that capital is accumulated to face unexpected losses (Ayuso et al., 2004; Fonseca and Gonzalez, 2010). On the whole, the expected sign for the coefficient of this variable is ambiguous. Nier and Bau”
The Procyclical Effects of Basel II (2008, methodology): “…jump in capital requirements implies 29This is consistent with the existing evidence about the behavior of capital buffers under Basel I– including Ayuso et al. (2004) with Spanish data, Lindquist (2004) with Norwegian data, and Bikker and Metzemakers (2004) with data from 29 OECD countries–and…”
Earnings and Capital Management in Alternative Loan Loss Provision Regulatory Regimes (2006, background): “A detailed discussion of the determinants of that buffer is presented in Ayuso et al. (2004).”