Reza Tehrani; Mahshid Shahchera; Saeid Fallahpour; Zeinab Biyabani
Abstract
The financial crisis of 2007-2009 led to the redoubled attention of international institutions to the issue of banking regulation. In this regard, the Basel Committee to exercise effective banking supervision reviewed and introduced new standards and requirements in the field of banking regulations, ...
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The financial crisis of 2007-2009 led to the redoubled attention of international institutions to the issue of banking regulation. In this regard, the Basel Committee to exercise effective banking supervision reviewed and introduced new standards and requirements in the field of banking regulations, such as capital adequacy requirements, providing liquidity requirements, and leverage ratio. On the whole, studies show that capital ratios have significant and negative impacts on large European bank-retail-and-other-lending-growth in a context of deleveraging and “credit crunch” in Europe over the post-2008 financial crisis period. Additionally, liquidity indicators have positive but perverse effects on bank-lending growth, which supports the need to consider heterogeneous banks’ characteristics and behaviors when implementing new regulatory policies. In this article, by using the data of the Iranian banks during 2006-2018, the simultaneous effect of the new liquidity and capital regulations, inspired by the requirements of Basel Committee and based on the new instructions of the Central Bank, has been studied. In other words, the issue addressed in this paper is what conditions the simultaneous implementation of capital and liquidity requirements by banks will put them in. According to the results, liquidity requirements and capital requirements are complementary. Based on the results, the relationship between liquidity risk (Inverse of Net Stable Funding Ratio) and capital adequacy is positive. Therefore, with the increase of liquidity risk in banks, it will not be possible to establish capital requirements following the provisions of Basel III.
reza tehani; Shapur Mohammadi; Arash Mohamadalizadeh
Volume 11, Issue 41 , July 2011, , Pages 225-244
Abstract
This paper presents a new perspective on the Fisher hypothesis, which states a positiverelationship between nominal stock returns and inflation. The new approach is based on a waveletmultiscaling method that decomposes a given time series on a scale-by-scale basis. The time series of inflation and stock ...
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This paper presents a new perspective on the Fisher hypothesis, which states a positiverelationship between nominal stock returns and inflation. The new approach is based on a waveletmultiscaling method that decomposes a given time series on a scale-by-scale basis. The time series of inflation and stock return are decomposed into three wavelet details and one wavelet smooth. Empirical results show that there is a positive relationship between stock returns and inflation at 2month period and at 8-month period, while a negative relationship is shown 4-month period. Also,no significant relationship was revealed in one month time horizon. This indicates that the nominal return results are supportive of the Fisher hypothesis for risky Assets in d2 and s3 of the wavelet domain, while the stock returns do not play a role as an inflation hedge at one month and four month timescales.
