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Impact of the Basel III Liquidity Rules on EU Banks
Název práce v češtině: Dopad likviditních pravidel Basel III na banky v EU
Název v anglickém jazyce: Impact of the Basel III Liquidity Rules on EU Banks
Klíčová slova: NSFR, Basel III, likvidita, banky, EU, profitabilita, kapitálová přiměřenost, regulace
Klíčová slova anglicky: NSFR, Basel III, liquidity, banks, EU, profitability, capital rules, regulation
Akademický rok vypsání: 2014/2015
Typ práce: diplomová práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: PhDr. Boril Šopov, M.Sc., LL.M.
Řešitel: skrytý - zadáno vedoucím/školitelem
Datum přihlášení: 17.06.2015
Datum zadání: 17.06.2015
Datum a čas obhajoby: 14.09.2016 00:00
Místo konání obhajoby: IES
Datum odevzdání elektronické podoby:27.07.2016
Datum proběhlé obhajoby: 14.09.2016
Oponenti: Mgr. Hana Džmuráňová, Ph.D.
Kontrola URKUND:
Seznam odborné literatury
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Arvanitis, P., & Drakos, K. (2015). The Net Stable Funding Ratio of US Bank Holding Companies: A Retrospective Analysis. Interntional Journal of Economic Sciences, IV(2), 1-9.
BCBS. (2010). Basel III: A global regulatory framework for more resilient banks and banking systems. Basel, Switzerland: Bank for international Settlements.
BCBS. (2010). Basel III: International framework for liquidity risk measurement, standards and monitoring. Basel: Bank for International Settlements.
BCBS. (2013). Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools . Basel Committee on Banking Supervision. Basel: Bank for International Settlements.
BCBS. (2014). Basel III: the net stable funding ratio . Basel Committee for Banking Supervision. Bank for International Settlements.
BCBS. (2015). A brief history of the Basel Committee. Basel Committee on Banking Supervision. Bank of International Settlements.
Bech, M., & Monnet, C. (2013). The Impact of Unconventional Monetary Policy on the Overnight Interbank Market. Conference Volume 2013, 147-177. Reserve Bank of Australia.
BIS. (2010). Basel III: A global regulatory framework for more resilient banks and banking systems . Basel, Switzerland: Bank for international Settlements.
Bonner, C., & Eijffinger, S. (2012). The Impact of the LCR on the Interbank Money Market . Series N. 9124. The netherlands: entre for Economic Policy Research Discussion Papers.
Czech National Bank. (2014). Zpráva o výkonu dohledu nad finančním trhem. Prague: CNB.
Demirgüç-Kunt, A., Laeven, L., & Levine, R. (2003). Regulations, Market Structure, Institutions, and the Cost of Financial Intermediation. The World Bank, University of Minnesota and the NBER.
Dietrich, A., Hess, K., & Wanzenried, G. (2014). The good and bad news about the new liquidity rules of Basel III in Western European countries . Journal of Baning & Finance, 44, 13-25.
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Driver, R. (2014). BBA response to BCBS 271: Basel III: The Net Stable Funding Ratio. British Bankers’ Association . London: bba.
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Hong, H., Huang, J.-Z., & Wu, D. (2014). The information content of Basel III liquidity risk measures . Journal of Financial Stability, 15, 91-111.
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Předběžná náplň práce v anglickém jazyce
The banking regulations have been pressuring the banks in the banking union in order to make them stronger in good times and prepare mechanisms for crisis solutions (good overview of the changes was studied by the KPMG that also came up with “pressure index” of the new regulations in past and for the future). Each country has regulations of the banking sector on a different level and overall harmonization is more than necessary since the sector is interconnected, especially within the eurozone. Eurozone has recently introduced the SSM and SRM. The most crucial part of these new Basel 3 regulations is the introduction of new capital requirements as well as new liquidity and solvency regulations. In this thesis I want to focus on the liquidity measures as it is fairly new inclusion to banking regulations and it will influence the financial and operational positions of commercial banks. The liquidity regulations are still in development and therefore it will be interesting to research the options of measuring liquidity throughout the eurozone and possibly come up with measures for its influence on the banks. The Liquidity Coverage Ratio (LCR) measuring the short-term banks’ liquidity was put in use in the beginning of 2015, measuring the high quality liquid assets (HQLA) to the cash outflow in banks. Although, the HQLA are not specified and measurements differ from country to country and from bank to bank. Long-term liquidity is measured by the net stable funding ration (NSFR) that should start functioning in 2016 based on report from banks on their liquidity position coming up in December 2015.
According to the EY, BCG and McKinsey reports this part of banking regulation interconnects with other regulations, it is fairly new and will certainly have a significant influence on the commercial banks’ positions as well as on the credit rates. It will also be interesting to find different measures of liquidity in banks and compare them. It is an important part of the CRD IV regulation that has been quiet overshadowed by the capital requirements. Paper The Liquidity Coverage Ratio: the need for further complementary ratios? also suggests there should be additional liquidity ratios as additions to the LCR and NSFR as these include multiple gaps.
Expected Contribution:
First part of the contribution would be a meta analysis of reports and articles on the topic as well as comparison of various impact studies outlining the impact of the regulations on individual banks as well as on the banking sector in general (eg. Credit rates). Furthermore the focus will be on the specification on HQLA and the options variety of LCRs derived from these by commercial banks. Last but not least, the further harmonization of liquidity measurement tools for the future will be suggested in order to have an efficient CRD IV as planned.
First part will include an analysis of the LCR and NSFR, qualification of the HQLA and the regulations connected with the liquidity measurements. Further part of the thesis will include some case studies analysing different approaches of commercial banks toward liquidity measurements and their compliance with the LCR and NSFR.
Additionally the impact of the liquidity requirements, especially on credit rates, will be assessed based on the studies of selected consulting companies and ECB forecasts. Last but not least, additional measures or changes to existing ones will be suggested.
[1] Capital Requirements Directive IV a Basel 3 – Přínosy, nová pravidla a jejich dopad, Tomáš Šťastný, Tomáš Čech, ACTA OECONOMICA PRAGENSIA 6/2013
[2] AGGREGATE REPORT ON THE COMPREHENSIVE ASSESSMENT, European Central Bank, October 2014, ISBN 978-92-899-1464-2
[3] Evolving Banking Regulation: From Design to Implementation, KPMG, March 2015
[4] Jan Willem van den End & Mark Kruidhof, 2012."Modelling the liquidity ratio as macroprudential instrument,"
DNB Working Papers 342, Netherlands Central Bank, Research Department.
[5] Jeanne Gobat & Mamoru Yanase & Joseph Maloney, 2014.IMF Working Papers, 14/106, International Monetary Fund.
[6] Patty Duijm & Peter Wierts, 2014."The Effects of Liquidity Regulation on Bank Assets and Liabilities," Tinbergen Institute Discussion Papers 14-018/IV/DSF72, Tinbergen Institute.
[7] Ojo, Marianne, 2015. "The unintended consequences and challenges of the Basel III Leverage Ratio: supplementary leverage ratios," MPRA Paper 61330, University Library of Munich, Germany.
[8] http://www.mckinsey.com/insights/financial_services/basel_iii_now_the_hard_part_for_european_banks
[9] https://www.bcgperspectives.com/search?SearchQuery=liquidity%20coverage%20ratio
[10] Zpráva o finanční stabilitě, Česká národní banka, ISBN 978-80-87225-58-5, https://www.cnb.cz/miranda2/export/sites/www.cnb.cz/cs/financni_stabilita/zpravy_fs/fs_2014-2015/fs_2014-2015.pdf
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