2015 Fiscal Year Final Research Report
Risk exposures of financial intermediaries and new financial regulations
| Project/Area Number |
25380391
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Nagoya University |
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Principal Investigator |
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| Project Period (FY) |
2013-04-01 – 2016-03-31
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| Keywords | Basel II / 自己資本比率 / システミックリスク |
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| Outline of Final Research Achievements |
I analyzed empirically Japanese banks’ behavior of adjustment on capital ratio after the introduction of Basel II. Employing partial adjustment model, I examined size and composition of portfolios and estimate the adjustment speeds of numerator and denominator of capital ratio. I found that Japanese banks adjusted their composition of portfolio faster than its asset size. In addition, adjustment speed of numerator is faster than that of denominator. Furthermore, banks changed portfolio composition toward safer assets when its surplus in capital ratio is less.
I found that governmental crisis management contributed to the reduction of systemic risk in the research of systemic risk during Japanese financial crisis.
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| Free Research Field |
金融
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