Arbeitspapier
How do banks adjust their capital ratios? Evidence from Germany
We analyze the dynamics of banks' regulatory capital ratios. Using monthly data of regulatory capital ratios for a subset of large German banks, we estimate the target level and the adjustment speed of the capital ratio for each bank separately. We find evidence that, first, there exists a target level for a substantial percentage of banks; second, that private banks and banks with liquid assets are more likely to adjust their capital ratio tightly; and third, that banks compensate for low target capital ratios with low asset volatilities and high adjustment speeds. Fourth, banks with a target capital ratio seem to use an internal lower limit for their current ratios that is just above the regulatory minimum of 8%.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series 2 ; No. 2007,06
- Klassifikation
-
Wirtschaft
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
Regulatory bank capital
target capital ratio
partial adjustment
Ornstein-Uhlenbeck process
Bank
Kapitalstruktur
Eigenkapital
Bilanzstrukturmanagement
Schätzung
Deutschland
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Memmel, Christoph
Raupach, Peter
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Memmel, Christoph
- Raupach, Peter
- Deutsche Bundesbank
Entstanden
- 2007
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