The cyclical behavior of optimal bank capital

By Arturo Estrella. 2004

234 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e5e28a0cedd88255dc0ffd8352e5d7a6bd03534b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Ignazio Angeloni
2. Rafael Repullo
3. Javier Suárez
4. M. Duca
5. F. González
6. Ester Faia
7. Jesús Saurina
8. J. Lindé

In Finance

1. Rafael Repullo
2. Javier Suárez
3. F. González
4. M. Duca
5. A. Díaz
6. Ester Faia
7. Ignazio Angeloni
8. Jesús Saurina

Citations in the corpus

• The Procyclical Effects of Basel II (2008, methodology): “1 Introduction This paper is a modified extension of the models by Estrella (2004) and Peura and Keppo (2006).”
• Portfolio and Financing Adjustments for U.S. Banks: Some Empirical Evidence (2008, unknown): “…Lang and Nakamura (1995), Berger and Udell (1994), Hancock and Wilcox (1994), Peek and Rosengren (1995), Shrives and Dahl (1995), Stanton (1998), Wagster (1999), Borio, Furfine, and Lowe (2001), Estrella (2004), Pennacchi (2005), and Catarineu-Rabell, Jackson, and Tsomocos (2005) among many others.”
• Optimal Bank Capital with Costly Recapitalization (2006, unknown): “In the context of a model with costly external capital, Froot and Stein (1998) demonstrate that a bank investing in illiquid products may adjust its capital structure in order to accommodate the illiquid risks it chooses to bear.”
• Capital Requirements in a Quantitative Model of Banking Industry Dynamics (2014, unknown): “(6)Other papers that analyze the individual bank decision problem and capital requirements are Zhu [31] and Estrella [17].”
• Monetary policy and risk taking (2015, background): “Bank’s capital pro-cyclicality with respect to risk is well grounded in empirical analyses (see among many others Ayuso, Perez and Saurina [6], Estrella [26], Jokipii and Milne [28]).”
• How bank capital buffers vary across countries: the influence of cost of deposits, market power and bank regulation (2010, background): “Annual growth of real per capita GDP (GDPGR) is incorporated to control for the procyclicality that has been theoretically (Estrella, 2004) and empirically (Ayuso et al.”
• A Survey of Cyclical Effects in Credit Risk Measurement Models (2002, unknown): “Similarly, Estrella (2001) proposes calibration of the VaR-based minimum capital requirement to the optimal capital during an economic downturn, rather than to an unconditional average across the business cycle. Alternatively, Gersbach and Wehrspohn (2001) and Purhonen (2002) propose explicit reduct”
• Are capital buffers pro-cyclical?: Evidence from Spanish panel data (2002, background): “But as in Froot and Stein (1998) or Estrella (2001) , we model the decisions a bank makes on capital as the result of a trade-off among three different types of costs related to capital levels.”
• Corporate Credit Risk Modelling and the Macroeconomy (2004, background): “Estrella [12], for example, constructs a theoretical model of optimal bank capital.”