Arbeitspapier
The impact of Basel III on financial (in)stability: An agent-based credit network approach
The Basel III accord reacts to the events of the recent financial crisis with a combination of revised micro- and new macroprudential regulatory instruments to address various dimensions of systemic risk. This approach of cumulating requirements bears the risk of individual measures negating or even conflicting with each other which might lessen their desired effects on financial stability. We provide an analysis of the impact of Basel III's main components on financial stability in a stock-flow consistent (SFC) agent-based computational economic (ACE) model. We find that the positive joint impact of the microprudential instruments is considerably larger than the sum of the individual contributions to stability, i.e. the standalone impacts are non-additive. However, except for the buffers, the macroprudential overlay's impact is either marginal or even destabilizing. Despite its simplicity, the leverage ratio performs poorly especially when associated drawbacks are explicitly taken into account. Surcharges on SIBs seem to rather contribute to financial regulations complexity than to the resilience of the system.
- Language
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Englisch
- Bibliographic citation
-
Series: Economics Working Paper ; No. 2014-13
- Classification
-
Wirtschaft
Financial Crises
Financial Institutions and Services: Government Policy and Regulation
Money and Interest Rates: General
Computational Techniques; Simulation Modeling
- Subject
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Banking Supervision
Basel III
Liquidity Coverage Ratio
Macroprudential Regulation
Financial Instability
Agent-based Computational Economics
- Event
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Geistige Schöpfung
- (who)
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Krug, Sebastian
Lengnick, Matthias
Wohltmann, Hans-Werner
- Event
-
Veröffentlichung
- (who)
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Kiel University, Department of Economics
- (where)
-
Kiel
- (when)
-
2014
- Handle
- Last update
- 10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Krug, Sebastian
- Lengnick, Matthias
- Wohltmann, Hans-Werner
- Kiel University, Department of Economics
Time of origin
- 2014
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