The cyclical behavior of bank capital buffers in an emerging economy: size do matters

Using a panel of Colombian banks and quarterly data between 1996:1 and 2010:3, we study the relationship between short-run adjustemnts in bank capital buffers and the business cycle. We follow a partial adjustment framework and control for several variables that have been identified as important det...

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Autores Principales: Garcia-Suaza, Andres, Gómez-González, José E., Murcia-Pabón, Andrés, Tenjo-Galarza, Fernando
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Universidad del Rosario 2011
Materias:
Acceso en línea:http://repository.urosario.edu.co/handle/10336/10973
id ir-10336-10973
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spelling ir-10336-109732019-09-19T12:37:01Z The cyclical behavior of bank capital buffers in an emerging economy: size do matters Garcia-Suaza, Andres Gómez-González, José E. Murcia-Pabón, Andrés Tenjo-Galarza, Fernando Economía financiera Economía Análisis de inversiones Bancos comerciales Ciclos económicos Capital de riesgo Bank capital buffers Credit risk Regulation Colombia Using a panel of Colombian banks and quarterly data between 1996:1 and 2010:3, we study the relationship between short-run adjustemnts in bank capital buffers and the business cycle. We follow a partial adjustment framework and control for several variables that have been identified as important determinants of bank capital buffers in previous studies, and find that bank capital buffers vary over the business cycle. We are able to identify a negative co-movement of capital buffers and and the business cycle. However, we also find that capital buffers of small and large banks behave asymmetrically during the business cycle. While the former appear to be constant over time, once the appropriate set of control variables is used, the latter present a countercyclical behavior. Our results suggest the possible need of the implementation of regulatory policy measures in developing countries 2011 2015-10-06T12:59:05Z info:eu-repo/semantics/workingPaper info:eu-repo/semantics/acceptedVersion http://repository.urosario.edu.co/handle/10336/10973 spa info:eu-repo/semantics/openAccess application/pdf Universidad del Rosario Facultad de Economía instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR instname:Universidad del Rosario
institution EdocUR - Universidad del Rosario
collection DSpace
language Español (Spanish)
topic Economía financiera
Economía
Análisis de inversiones
Bancos comerciales
Ciclos económicos
Capital de riesgo
Bank capital buffers
Credit risk
Regulation
Colombia
spellingShingle Economía financiera
Economía
Análisis de inversiones
Bancos comerciales
Ciclos económicos
Capital de riesgo
Bank capital buffers
Credit risk
Regulation
Colombia
Garcia-Suaza, Andres
Gómez-González, José E.
Murcia-Pabón, Andrés
Tenjo-Galarza, Fernando
The cyclical behavior of bank capital buffers in an emerging economy: size do matters
description Using a panel of Colombian banks and quarterly data between 1996:1 and 2010:3, we study the relationship between short-run adjustemnts in bank capital buffers and the business cycle. We follow a partial adjustment framework and control for several variables that have been identified as important determinants of bank capital buffers in previous studies, and find that bank capital buffers vary over the business cycle. We are able to identify a negative co-movement of capital buffers and and the business cycle. However, we also find that capital buffers of small and large banks behave asymmetrically during the business cycle. While the former appear to be constant over time, once the appropriate set of control variables is used, the latter present a countercyclical behavior. Our results suggest the possible need of the implementation of regulatory policy measures in developing countries
format Documento de trabajo (Working Paper)
author Garcia-Suaza, Andres
Gómez-González, José E.
Murcia-Pabón, Andrés
Tenjo-Galarza, Fernando
author_facet Garcia-Suaza, Andres
Gómez-González, José E.
Murcia-Pabón, Andrés
Tenjo-Galarza, Fernando
author_sort Garcia-Suaza, Andres
title The cyclical behavior of bank capital buffers in an emerging economy: size do matters
title_short The cyclical behavior of bank capital buffers in an emerging economy: size do matters
title_full The cyclical behavior of bank capital buffers in an emerging economy: size do matters
title_fullStr The cyclical behavior of bank capital buffers in an emerging economy: size do matters
title_full_unstemmed The cyclical behavior of bank capital buffers in an emerging economy: size do matters
title_sort cyclical behavior of bank capital buffers in an emerging economy: size do matters
publisher Universidad del Rosario
publishDate 2011
url http://repository.urosario.edu.co/handle/10336/10973
_version_ 1645140831441518592
score 11,489418