A Note on Bank Capital Buffer: Does Bank Heterogeneity matter?

Abstract : The objective of this paper is to extend the literature on bank capital buffer by considering the role of bank heterogeneity. Using a sample of European commercial banks over 1992-2006, we show that four key determinants – risk, business cycle, market and peer discipline – have different impact on capital buffer depending on banks' financing mode, activity or size. Our results offer a framework for discussing the appropriateness of the still on-going suggestions on bank capital regulation. Whereas they support the differentiating measures undertaken in Basel 3 such as specific capital surcharges for SIFIs, they disagree with the adoption of uniform countercyclical buffers.
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Alain Angora, Isabelle Distinguin, Clovis Rugemintwari. A Note on Bank Capital Buffer: Does Bank Heterogeneity matter?. Empirical Economic Letters, Empirical Economic Letters, 2011, 10 (9). ⟨hal-00785109⟩

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