Evolución del proceso de regulación bancaria hasta Basilea-2 : origen, características y posibles efectos
DOI:
https://doi.org/10.18002/pec.v0i2.734Parole chiave:
Regulación bancaria, Solvencia, Capital, Basilea-2, Prociclicidad, Banking regulation, Solvency, Basel-II, ProcyclicalityAbstract
El sistema finaciero se prepara para afrontar los retos derivados del Nuevo Acuerdo de Capitales aprobado en 2004, que viene a culminar un proceso de regulación financiera definido por la exigencia de capital como expresión de la solvencia. Esta evolución ha dado respuesta a la actividad de los intermediarios financieros, los cambios debidos a la globalización e innovación financiera, y los nuevos riesgos que han surgido en consecuencia. Además, se incorpora la supervisión a través del regulador y de la disciplina de mercado. El artículo resume las características de la regulación de capital bancario, hasta llegar al capital ajustado al riesgo que caracteriza los Acuerdos elaborados desde Basilea, para detallar después los contenidos del Nuevo Acuerdo, sus fortalezas y debilidades, así como su posibles efectos.The financial system is ready to face the challenges derived from the New Basel Capital Accord issued in 2004, which reflects the financial regulatory process characterized by the need of maintaining capital as expression of solvency. This evolution has responded to financial intermediaries activity, changes due to globalization and financial innovation, and the new risks which have came across. Additionally, it includes the supervison aspect through regulators and market discipline. This paper summarizes the characteristics of bank capital regulation, in order to explain risk-based-capital in the Basel Accords, putting forward the New Accord content, as well as its strengths, weaknesses, and possible effects.
Downloads
Riferimenti bibliografici
AKERLOF, G.A. (1970) "The market for 'lemons': quality uncertainty and the market mechanism", Quarterly journal of economics, 84, August, pp. 488-501.
ALLEN, L.; BALI, T. [en línea] (2004) "Cyclicality in catastrophic and operational risk measurements", http://pages.stern.nyu.edu/~lallen/Allen-Bali(withtitlepage).pdf
ALLEN, L.;; SAUNDERS, A. (2004) "Incorporating systemic influences into risk measurements: a survey of the literature", Journal of financial services research, vol. 26, nº 2, pp. 161-192.
ALTMAN, E.I.; BHARATH, S.T.; SAUNDERS, A. (2002) "Credit ratings and the BIS capital adequacy reform agenda", Journal of banking & finance, 26, pp. 909-921.
AYUSO, J.; PÉREZ, D.; SAURINA, J. (2004) "Are capital buffers pro-cyclical? Evidence from Spanish panel data", Journal of financial intermediation, 13, pp. 249-264.
BARAJAS, A.; CHAMI, R.; COSIMANO, T. (2005) Did the Basel Accord cause a credit slowdown in Latin America?, International Monetary Fund Working Paper 05/38.
BARRIOS, V.E.; BLANCO, J.M. (2003) "The effectiveness of bank capital adequacy regulation: a theoretical and empirical approach", Journal of Banking & Finance, 27, pp. 1935-1958.
BARTH, J.R.; CAPRIO Jr., G.; LEVINE, R. (2004) "Bank regulation and supervision: what works best?", Journal of financial intermediation, 13, pp. 205-248.
BASEL COMMITTEE ON BANKING SUPERVISION (1988) "International convergence of capital measurement and capital standards", Bank for International Settlements, July, Basel.
BASEL COMMITTEE ON BANKING SUPERVISION (1993) "The supervisory treatment of market risk. Consultative proposal by the BCBS", Bank for International Settlements, April, Basel.
BASEL COMMITTEE ON BANKING SUPERVISION (1996) "Amendment to the capital accord to incorporate market risks", Bank for International Settlements, January, Basel.
BASEL COMMITTEE ON BANKING SUPERVISION (1998) "Enhancing bank transparency", Bank for international Settlements, September, Basel.
BASEL COMMITTEE ON BANKING SUPERVISION (1999a) "Capital requirements and bank behaviour: the impact of the Basel Accord", Bank for international Settlements, BCBS Working Paper nº1, April, Basel.
BASEL COMMITTEE ON BANKING SUPERVISION (1999b) "A new capital adequacy framework. Consultative paper, issued by the Basel Committee on Banking Supervision. Issued for comment by 31 March 2000", Bank for International Settlements, June, Basel.
BASEL COMMITTEE ON BANKING SUPERVISION (2001a) "Consultative Document. The new Basel Capital Accord. Issued for comment by 31 May 2001", Bank for International Settlements, January, Basel.
BASEL COMMITTEE ON BANKING SUPERVISION (2001b) "Consultative Document. Operational risk. Supporting document to the New Basel Capital Accord", Bank for International Settlements, January, Basel.
BASEL COMMITTEE ON BANKING SUPERVISION (2003a) "The new Basel Capital Accord. Consultative Document", Bank for International Settlements, April, Basel.
BASEL COMMITTEE ON BANKING SUPERVISION (2003b) "High level principles for the cross-border implementation of the New Accord", Bank for International Settlements, August, Basel.
BASEL COMMITTEE ON BANKING SUPERVISION (2004a) "Consensus achieved on Basel II proposals", Bank for International Settlements, nota de prensa, 11 de mayo.
BASEL COMMITTEE ON BANKING SUPERVISION (2004b) "International Convergence of Capital Measurement and Capital Standards: a Revised Framework", Bank for International Settlements, June, Basel.
BASEL COMMITTEE ON BANKING SUPERVISION (2004c) "Implementation of Basel II: Practical considerations", Bank for International Settlements, July, Basel.
BEATTIE, V.A.; CASSON, P.D.; SALE, R.S.; MCKENZIE, G.W.; SUTCLIFFE, C.M.S.;
TURNER, M.J. (1995) Banks and bad debts. Chichester: Wiley.
BERGER, A.N.; HERRING, R.J.; SZEGÓ, G.P. (1995) "The role of capital in financial institutions", Working paper 95-01, Wharton Financial Institutions Center.
BESANKO, D.; KANATAS, G. (1993) "Credit market equilibrium with bank monitoring and moral hazard", The review of financial studies, 6, pp. 213-232.
BHATTACHARYA, S.; THAKOR, A.V. (1993) "Contemporary Banking Theory", Journal of Financial Intermediation, 3, pp. 2-50.
BIKHCHANDANI, S.; SHARMA, S. (2001) "Herd behavior in financial markets", International Monetary Fund Staff Papers, vol. 47, nº 3, pp. 279-310.
BIKKER, J.A.; METZEMAKERS, P.A.J. (2005) "Bank provisioning behaviour and procyclicality", Journal of international financial markets, institutions & money, 15, pp. 141-157.
BLUM, J. (1999) "Do capital adequacy requirement reduce risks in banking?", Journal of Banking & Finance, 23, pp. 755-771.
BOOT, A.; GREENBAUM, S. (1993) "Bank Regulation, Reputation and Rents: Theory and Policy Implications", en MAYER, C.; VIVES, X. (eds.), Capital Markets and Financial Intermediation, pp. 69-88, New York: Cambridge University Press.
BORIO, C.; FURFINE, C.; LOWE, P. (2001) "Procyclicality of the financial system and financial stability: issues and policy option", en Marrying the macro- and micro-prudential dimensions of financial stability, Bis Papers No.1, 1-57.
CALEM, P.S.; ROB, R. (1996) "The impact of capital-based regulation on bank risk-taking: a dynamic model", Federal Reserve Board, Paper 1996-12, finance and economic discussion series.
CANTOR, R. (2001) "Moody's investors service response to the consultative paper issued by the Basel Committee on Banking supervision «A new capital adequacy framework»", Journal of Banking & Finance, 25, pp. 171-185.
CATARINEU-RABELL, E.; JACKSON, P.; TSOMOCOS, D.P. (2003) "Procyclicality and the new Basel Accord bank's choice of loan rating system", Bank of England, Working Paper no. 181.
CHIURI, M.C.; FERRI, G.; MAJNONI, G. (2002) "The macroeconomic impact of bank capital requirements in emerging economies: past evidence to assess the future", Journal of Banking & Finance, 26, pp. 881-904.
CHORAFAS, D.N. (2004a) Operational risk control with Basel II. Basic principles and capital requirements. Oxford: Elsevier.
CHORAFAS, D.N. (2004b) Economic capital allocation with Basel II: Cost, benefit and implementation procedures. Oxford: Elsevier.
DANÍELSSON, J. [en línea] (2002) "On the feasibility of risk based regulation", http://www.riskresearch.org/files/Danielsson2002b.pdf
DANÍELSSON, J.; EMBRECHTS, P.; GOODHART, C.; KEATING, C.; MUENNICH, F.; RENAULT, O.; SONG SHING, H. (2001) "An academic response to Basel II", Financial Markets Group Special Paper No. 130.
DECAMPS, J.P.; ROCHET, J.C. & B. ROGER (2004) "The three pillars of Basel II: optimizing the mix", Journal of Financial Intermediation, vol. 13, issue 2, pp. 132-155.
DEWATRIPONT, M.; TIROLE, J. (1993) "Efficient Governance Structure: Implications for Banking Regulation". en MAYER, C.; VIVES, X. (eds.), Capital Markets and Financial Intermediation. New York: Cambridge University Press.
DEWATRIPONT, M.; TIROLE, J. (1995) The prudential regulation of banks. MIT Press.
DEYOUNG, R.; HUGHES, J.P.; MOON, C. (2001) "Efficient risk-taking and regulatory covenant enforcement in a deregulated banking industry", Journal of Economics & Business, 53, pp. 255-282.
DIAMOND, D.W.; DYBVIG, P. (1983) "Bank runs, deposit insurance and liquidity", Journal of Political Economy, 91 (3), pp. 401-419.
DOWD, K. (1999) "Does asymmetric information justify bank capital adequacy regulation?", Cato Journal, vol. 19, nº1, spring/summer, pp. 39-47.
ESTRELLA, A. (2004) "The cyclical behaviour of optimal bank capital",
Journal of Banking & Finance, 28, pp. 1469-1498.
EVANOFF, D.D.; WALL, C.D. (2000) "Subordinated debt and bank capital reform", Working paper 2000-07, Federal Reserve Bank of Chicago.
FLANNERY, M.J. (1989) "Capital Regulation and Insured Banks' Choice of Individual Loan Default Risks", Journal of Monetary Economics, vol. 24, pp. 235-58.
FLANNERY, M.J.; RANGAN, K.P. [en línea] (2002) "Market forces at work in the banking industry: evidence from the capital buildup of the 1990s", Working paper Financial intermediation research society, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=302138
FREIXAS, X.; SAURINA, J. (2004) "Teoría y práctica de la regulación bancaria", Moneda y Crédito, 218, pp.111-157.
FURFINE, C. (2001) "Bank portfolio allocation: The impact of capital requirements, regulatory monitoring, and economic conditions", Journal of Financial Services Research, vol. 20, issue 1, pp. 33–56.
FURLONG, F.T.; KEELEY, M.C. (1989) "Capital Regulation and bank risk- taking: a note", Journal of Banking & Finance, 14, pp. 883-891.
GALLATI, R. (2003) Risk management and capital adequacy. New York: McGraw-Hill.
GARCÍA HIGUERA, C. (2001) Capital bancario. Gestión estratégica de los fondos propios en las entidades de crédito. Madrid: Instituto superior de técnicas y prácticas bancarias.
GEHRIG, T. (1995) "Capital Adequacy Rules: Implications for bank's risk- taking", Swiss Journal of Economics and Statistics, vol. 131(4/2), pp. 747-764.
GONZÁLEZ MOTA, E. (2005) "Prociclicidad, volatilidad financiera y Basilea II", Estabilidad Financiera, 8, pp. 153-161, Banco de España, mayo.
GORDY, M.B.; HOWELLS, B. (2004) "Procyclicality in Basel II: Can we treat the disease without killing the patient?", Board of Governors of the Federal Reserve System.
GRIEP, C.; DE STEFANO, M. (2001) "Standard & Poor's official response to the Basel Committee's proposal", Journal of Banking & Finance, 25, pp. 149-169.
GUEYIE, J.P.; LAI, V.S. (2003) "Bank moral hazard and the introduction of official deposit insurance in Canada", International Review of Economics and Finance, 12, pp. 247-273.
HALL, B.J. (1993) "How has the Basle Accord affected bank portfolios?",
Journal of the Japanese and international economies, 7, pp. 408-440.
HANCOCK, D.; LAING, A.J. & WILCOX, J.A. (1995) "Bank capital shocks: dynamic effects and securities, loans, and capital", Journal of Banking and Finance, 19, pp. 661–677.
HERRING, R.J. (2004) "The subordinated debt alternative to Basel II", Journal of financial stability, vol. 1, issue 2, pp. 137-155.
HOGGARTH, G.; REIS, R.; SAPORTA, V. (2001) "Costs of banking system instability: some empirical evidence", Working paper Bank of England.
HONOHAN, P.; KLINGEBIEL, D. (2000) "Controlling fiscal costs of banking crises", The World Bank.
IGLESIAS-SARRIA, C.; VARGAS, F. (2004) "El Nuevo Acuerdo de Capital 'Basilea II' y su transposición europea: el proceso y la implementación", Estabilidad Financiera, 7, noviembre, pp. 9-57. Banco de España.
ILLING, M.; PAULIN, G. (2004) "The new Basel Capital Accord and the cyclical behaviour of bank capital", Bank of Canada, Working paper nº 30, Agosto.
ITO, T.; SASAKI, Y.N. (2002) "Impacts of the Basle Capital Standard on Japanese banks' behaviour", Journal of the Japanese and International Economies, 16, pp. 372-397.
JONES, D. (2000) "Emerging problems with the Basel Capital Accord: Regulatory capital arbitrage and related issues", Journal of Banking & Finance, 24, pp. 35-58.
JONES, D.; MINGO, J. (1999) "Credit risk modelling and internal capital allocation processes: implications for a models-based regulatory bank capital standard", Journal of Economics and Business, 51, pp. 79-108.
JORDAN, J.; PEEK, J.; ROSENGREN, E. (2003) "Credit risk modelling and the cyclicality of capital", Federal Reserve Bank of Boston, Working Paper, octubre.
KAHANE, Y. (1977) "Capital adequacy and the regulation of financial intermediaries", Journal of Banking & Finance, vol.1, nº 2, pp. 207-218.
KASHYAP, A.K.; STEIN, J.C. (2004) "Cyclical implications of the Basel II capital standards", Economic Perspectives, Federal Reserve Bank of Chicago, 10, pp. 18-31.
KAUFMAN, G.G. (1992) "Capital in banking: past, present and future", Journal of financial services research, 5, pp. 385-402.
KAUFMAN, G.G. (1996) "Bank failures, systemic risk, and bank regulation", Cato Journal, vol. 16, 1, Spring/summer.
KIM, D.; SANTOMERO, A.M. (1988) "Regulation of bank capital and portfolio risk", Journal of Finance, 43, pp. 1235-44.
KIRSTEIN, R. (2001) "The New Basle Accord, internal ratings, and the incentives of banks", Center for the Study of Law and Economics, Discussion Paper 2000-06.
KOEHN, M.; Santomero, A.M. (1980) "Regulation of bank capital and portfolio risk", The journal of finance, vol. 35, 5, pp. 1235-1244.
KONISHI, M.; YASUDA, Y. (2004) "Factors affecting bank risk taking: evidence from Japan", Journal of Banking & Finance, 28, pp. 215-232.
KOOPMAN, S.J.; LUCAS, A.; KLAASSEN, P. (2005) "Empirical credit cycles and capital formation", Journal of Banking & Finance, 29, pp. 3159-3179.
KWAN, S.; EISENBEIS, R.A. (1997) "Bank risk, capitalization and inefficiency", Journal of financial services research, vol. 12 (2/3), pp. 117-131, octubre.
LEVINE, R. (2002) "Bank-based or market-based financial systems: which is better?", Journal of financial intermediation, 11, pp. 398-428.
LLEWELLYN, D.T. (2002) "An analysis of the causes of recent banking crises", The European Journal of Finance, 8, pp. 152-175.
LOWE, P. (2002) "Credit risk measurements and procyclicality", BIS Working Papers nº 116, September.
MATTEN, C. (2000) Managing bank capital: capital allocation and performance measurement. Chichester: John Wiley.
MÉNDEZ DEL RÍO, M. [en línea] (2003) "The new basel capital accord work progress", seminario BBVA conferencia en Washington, 14 de enero, www.iadb.org/sds/IFM/publication/gen_495_3230_s.htm .
MONTGOMERY, H. (2005) "The effect of the Basel accord on bank portfolios in Japan", Journal of Japanese and international economies, 19, pp. 24-36.
OATLEY, T. (2001) "The dilemmas of international financial regulation", Regulation Magazine, vol. 23, 4, Spring, pp. 36-39.
PECCHENINO, R.A. (1998) "Risk averse bank managers: exogenous shocks, portfolio reallocations and market spillovers", Journal of Banking & Finance, 22, pp. 161-174.
PEDERZOLI, C.; TORRICELLI, C. (2005) "Capital requirements and business cycle regimes: forward-looking modelling of default probabilities", Journal of Banking & Finance, 29, pp. 3121-3140.
PENNACCHI, G. (2005) "Risk-based capital standards, deposit insurance, and procyclicality", Journal of financial intermediation, 14, pp. 432-465.
PEURA, S.; JOKIVUOLLE, E. (2004) "Simulation based stress tests of banks´regulatory capital adequacy", Journal of Banking & Finance, vol. 28 (8), pp. 1801-1824.
RIME, B. (2001) "Capital requirements and bank behaviour: empirical evidence for Switzerland", Journal of Banking & Finance, 25, pp. 789- 805.
ROCHET, J.C. (1992) "Capital requirements and the behaviour of commercial banks", European Economic Review, 26, pp. 1137-1178.
ROCHET, J.C. (2003) "Rebalancing the 3 Pillars of Basel 2", Economic Policy Review, vol. 10, issue 2, pp. 7-21.
RODRÍGUEZ, L.J. (2003) "Banking stability and the Basle Capital Standards", Cato Journal, Spring/summer, vol. 23 (1), pp. 115-126.
SAIDENBERG, M.; SCHUERMANN, T. [en línea] (2003) "The new Basel Capital Accord and questions for research", Working Paper The Wharton School, No. 03-14: http://fic.wharton.upenn.edu/fic/papers/03/0314.pdf
SANTOS, J.A.C. (1999) "Bank capital and equity investment regulations", Journal of Banking & Finance, 23, pp. 1095-1120.
SANTOS, J.A.C. (2000) "Bank capital regulation in contemporary banking theory: a review of the literature", BIS Working Paper No. 90, September, Basel.
SAURINA SALAS, J. (2002) "Solvencia bancaria, riesgo de crédito y regulación pública: el caso de la provisión estadística española", Hacienda Pública Española/Revista de Economía Pública, 161-2, pp. 129-150.
SHARPE, W.F. (1978) "Bank capital adequacy, deposit insurance and security values", Journal of financial and quantitative analysis, vol. 13, pp. 701-718.
SIRONI, A.; ZAZZARA, C. (2003) "The Basel Committee proposals for a new capital accord: implications for Italian banks", Review of financial economics, 12, pp. 99-126.
TSOMOCOS, D.P. (2003) "Equilibrium analysis, banking and financial instability", Journal of mathematical economics, 29, pp. 619-655.
YOUNG, B.; ASHBY, S. (2001) "The strategic importance of insurance as a mitigant for operational risk", en Advances in Operational Risk. Firm- wide issues for financial institutions. Londres: Andersen Risk Books.
ZAKRAJSEK, E.; CARPENTER, S.B.; WHITESELL, W.C. (2001) "Capital Requirements, Business Loans, and Business Cycles: An Empirical Analysis of the Standardized Approach in the New Basel Capital Accord", November, FEDS Working Paper nº 2001-48.
Downloads
Pubblicato
Come citare
Fascicolo
Sezione
Licenza
Copyright (c) 2006 Cristina Gutierrez López, José Miguel Fernández Fernández
Questo lavoro è fornito con la licenza Creative Commons Attribuzione - Non commerciale - Condividi allo stesso modo 4.0 Internazionale.
Los autores que publican en esta revista están de acuerdo con los siguientes términos:- Los autores ceden de forma no exclusiva los derechos de explotación (reproducción, distribución, comunicación pública, transformación) a la Universidad de León, por lo que pueden establecer, por separado, acuerdos adicionales para la distribución no exclusiva de la versión de la obra publicada en la revista (por ejemplo, alojarlo en un repositorio institucional o publicarlo en un libro), con un reconocimiento de su publicación inicial en esta revista.
- Este trabajo se encuentra bajo la Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License. Puede consultarse desde aquí la versión informativa y el texto legal de la licencia.
- Se permite y se anima a los autores a difundir electrónicamente las versiones pre-print (versión antes de ser evaluada) y/o post-print (versión evaluada y aceptada para su publicación) de sus obras antes de su publicación, ya que favorece su circulación y difusión más temprana y con ello un posible aumento en su citación y alcance entre la comunidad académica.
