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- W2133070978 abstract "Basel III introduces the Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR) to enhance bank liquidity regulation. This paper investigates whether accounting rules have pro-cyclical effects on these liquidity requirements. By rearranging and simplifying the formulae for the LCR and the NSFR, the paper analyses the linkages among accounting rules, capital rules and liquidity ratios. Due to these linkages, recurring fair value measurements are found to have pro-cyclical effects on both the LCR and the NSFR whereas the provision for loan losses is found to have positive effects on the NSFR although it has little impact on the LCR. The expected loss (EL) model for loan loss provisioning will introduce a new pro-cyclical impact on the NSFR even though it will lessen the pro-cyclical impact of the incurred-loss impairment model on the leverage ratio. Therefore, the contribution of accounting rules to the pro-cyclicality in the regulatory system will be enhanced as the paper also finds that the Basel III liquidity rules and the Basel III capital rules will reinforce each other’s pro-cyclicality." @default.
- W2133070978 created "2016-06-24" @default.
- W2133070978 creator A5061638045 @default.
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- W2133070978 date "2012-01-01" @default.
- W2133070978 modified "2023-09-27" @default.
- W2133070978 title "The Cyclical Effects of Accounting Rules on Basel III Liquidity Regulation" @default.
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- W2133070978 doi "https://doi.org/10.2139/ssrn.2175689" @default.
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