Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/210705 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
Staff Report No. 853
Verlag: 
Federal Reserve Bank of New York, New York, NY
Zusammenfassung: 
The Basel I Accord introduced a discontinuity in required capital for undrawn credit commitments. While banks had to set aside capital when they extended commitments with maturities in excess of one year, short-term commitments were not subject to a capital requirement. The Basel II Accord sought to reduce this discontinuity by extending capital standards to most short-term commitments. We use these differences in capital standards around the one-year maturity to infer the cost of bank regulatory capital. Our results show that following Basel I, undrawn fees and all-in-drawn credit spreads on short-term commitments declined (relative to those of long-term commitments). In contrast, following the passage of Basel II, both undrawn fees and spreads went up. These results are robust and confirm that banks act to conserve regulatory capital by modifying the cost and supply of credit.
Schlagwörter: 
Basel accords
capital regulation
cost of capital
loan spreads
JEL: 
G21
G28
Dokumentart: 
Working Paper

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