Politická ekonomie 2017, 65(5):525-545 | DOI: 10.18267/j.polek.1160

Interakce kapitálové a likviditní regulace v bankovním sektoru

Lukáš Pfeifer1, Libor Holub2, Zdeněk Pikhart3, Martin Hodula4
1 Lukáš Pfeifer (Lukas.Pfeifer@cnb.cz), Česká národní banka a Bankovní Institut vysoká škola
2 Libor Holub (Libor.Holub@cnb.cz), Česká národní banka
3 Zdeněk Pikhart (zdenek.pikhart@mfcr.cz), Ministerstvo financí a Vysoká škola ekonomická v Praze
4 Martin Hodula (martin.hodula@vsb.cz), Vysoká škola báňská - Technická univerzita Ostrava

Interaction of Capital and Liquidity Regulation in the Banking Sector

Basel III responded to the financial crisis among other by redefining and expanding the capital requirements and by introduction of the liquidity requirements in the banking sector. Since banks' liquidity and capital positions influence each other through assets structure channel, asset quality channel and profitability channel, there exists a significant relationship among capital and liquidity regulatory tools. A bank can improve its capital and liquidity ratios by lowering risk-weighted assets (assets structure channel), but with the negative impact on the interest profit (profitability channel). We therefore aim to test the functionality of these two channels in relation to capital and liquidity positions in the Czech banking sector. We document the effect of the assets structure channel in case of liquidity and capital positions and effect of the profitability channel for the large banks. However, low profitability and introduction of a leverage ratio can limit the effect of assets structure channel on banks´ capital positions.

Keywords: capital and liquidity regulation, interaction, banking sector, VAR
JEL classification: E58, G18, G2

Published: October 1, 2017  Show citation

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Pfeifer, L., Holub, L., Pikhart, Z., & Hodula, M. (2017). Interaction of Capital and Liquidity Regulation in the Banking Sector. Politická ekonomie, 65(5), 525-545. doi: 10.18267/j.polek.1160
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