Capital and liquidity in a dynamic model of banking

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dc.contributor.author Hasman, Augusto
dc.contributor.author Samartín Sáenz, Margarita
dc.date.accessioned 2022-04-26T17:51:29Z
dc.date.available 2022-04-26T17:51:29Z
dc.date.issued 2017-08-01
dc.identifier.bibliographicCitation Hasman, A., & Samartín, M. (2017). Capital and liquidity in a dynamic model of banking. Economic Modelling, 64, pp. 172-177.
dc.identifier.issn 0264-9993
dc.identifier.uri http://hdl.handle.net/10016/34629
dc.description.abstract This paper analyzes capital requirements in combination with a particular kind of cash reserves, that are invested in the risk-free asset, from now on, compensated reserves. We consider a dynamic framework of banking where competition may induce banks to gamble. In this set up, we can capture the two effects that capital regulation has on risk, the capital-at-risk effect and the franchise value effect (Hellman et al., 2000). We show that while capital alone is an inferior policy, compensated reserves, will complement capital requirements, by creating franchise value, and are therefore efficient in solving moral hazard problems.
dc.description.sponsorship This research is partially funded by the Spanish Ministry of Economy and Competitiveness, project ECO2013-42849-P.
dc.language.iso eng
dc.publisher Elsevier
dc.rights © Elsevier, 2017
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Capital requirements
dc.subject.other Compensated reserves
dc.subject.other Dynamic framework
dc.subject.other Moral hazard
dc.title Capital and liquidity in a dynamic model of banking
dc.type article
dc.subject.jel G21
dc.subject.jel G28
dc.subject.eciencia Economía
dc.subject.eciencia Empresa
dc.identifier.doi https://doi.org/10.1016/j.econmod.2017.04.002
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. ECO2013-42849-P
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 172
dc.identifier.publicationlastpage 177
dc.identifier.publicationtitle ECONOMIC MODELLING
dc.identifier.publicationvolume 64
dc.identifier.uxxi AR/0000020306
dc.contributor.funder Ministerio de Economía y Competitividad (España)
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