The Impact of the Basel III Liquidity Regulations on the Bank Lending Channel: A Luxembourg case study

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Gaston Giordana; Ingmar Schumacher;
(2011)
  • Subject: bank, bank lending channel, monetary policy, Basel III, LCR, NSFR
    • jel: jel:E52 | jel:E51 | jel:E58 | jel:G21 | jel:G28

In this paper we study the impact of the Basel III liquidity regulations, namely the Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR), on the bank lending channel in Luxembourg. For this aim we built, based on individual bank data, time series of t... View more
  • References (10)

    2 Basel III liquidity regulations and monetary policy transmission mechanism 5 2.1 The bank lending channel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 2.2 The Liquidity Coverage Ratio . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 2.3 The Net Stable Funding Ratio . . . . . . . . . . . . . . . . . . . . . . . . . . . 8

    3 The econometric model and the data 9 3.1 Model specification and variables definition . . . . . . . . . . . . . . . . . . . 9 3.2 The data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 3.2.1 A closer look at the evolution of the LCR and NSFR . . . . . . . . . . 12 3.2.2 Balance sheets adjustments toward compliance : a simulation exercise 13

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