How Useful Is Basel III's Liquidity Coverage Ratio? Evidence From US Bank Holding Companies
研究了巴塞尔III流动性覆盖率对美国银行控股公司系统性风险的影响，发现该指标与较低的系统性风险相关，并能预测银行在危机中的损失。
Abstract This paper approximates a construction of Basel III's Liquidity Coverage Ratio (LCR) for US bank holding companies. This study examines (i) the LCR's marginal contribution to a firm's systemic risk and (ii) whether the LCR can predict ex ante which banks are most exposed to systemic losses in a true systemic event. Panel regressions from 2002 to 2015 show that the LCR is associated with lower relative systemic risk, measured by ΔCoVaR. The LCR may be used conjunctively with marginal expected shortfall to predict a firm's systemic losses during the crisis of 2007–2008.