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Title: The cyclical behaviour of European bank capital buffers
Authors: Jokipii, Terhi
Milne, Alistair
Keywords: Bank capital
Bank regulation
Business cycle fluctuations
Issue Date: 2008
Publisher: © Elsevier B.V.
Citation: JOKIPII, T. and MILNE, A., 2008. The cyclical behaviour of European bank capital buffers. Journal of Banking & Finance, 32 (8), pp. 1440 - 1451.
Abstract: Using an unbalanced panel of accounting data from 1997 to 2004 and controlling for individual bank costs and risk, we find capital buffers of the banks in the EU15 have a significant negative co-movement with the cycle. For banks in the accession countries there is significant positive co-movement. Capital buffers of commercial and savings banks, and of large banks, exhibit negative co-movement. Those of co-operative and smaller banks exhibit positive co-movement. Speeds of adjustment are fairly slow. We interpret these results and discuss policy implications, noting that negative co-movement of capital buffers will exacerbate the pro-cyclical impact of Basel II.
Description: This article was submitted for publication in the Journal of Banking and Finance [© Elsevier B.V.] and the definitive version is available at: http://dx.doi.org/10.1016/j.jbankfin.2007.12.001
Version: Submitted for publication
DOI: 10.1016/j.jbankfin.2007.12.001
URI: https://dspace.lboro.ac.uk/2134/15157
Publisher Link: http://dx.doi.org/10.1016/j.jbankfin.2007.12.001
ISSN: 0378-4266
Appears in Collections:Published Articles (Business School)

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