Economic Notes. Review of Banking, Finance and Monetary Economics. Volume 30, Number 3, November 2001

Transcription

1 Economic Notes Review of Banking, Finance and Monetary Economics Volume 30, Number 3, November PROCEEDINGS OF THE CONFERENCE ON `CAPITAL ADEQUACY REQUIREMENTS: IMPACT AND EVOLUTION' G. FERRI: Opening Remarks G. CAROSIO: The New Basel Capital Adequacy Framework V. V. ACHARYA: Competition Among Banks, Capital Requirements and International Spillovers P. HONOHAN: Perverse Effects of an External Ratings-related Capital Adequacy System R. GROPP ± A. J. RICHARDS: Rating Agency Actions and the Pricing of Debt and Equity of European Banks: What can we Infer about Private Sector Monitoring of Bank Soundness? M. C. CHIURI ± G. FERRI ± G. MAJNONI: Enforcing the 1988 Basel Capital Requirements: Did it Curtail Bank Credit in Emerging Economies? A. FOGLIA ± S. IANNOTTI ± P. MARULLO REEDTZ: The De nition of the Grading Scales in Banks' Internal Rating Systems A. RESTI ± C. OMACINI: Analytical and Empirical Features of Internal Ratings: An Empirical Consistency Test based on Statistical Models F. MATTESINI: Capital Requirements in a Financially Driven Business Cycle Model Published on behalf of Banca Monte dei Paschi di Siena SpA by Blackwell Publishers Publishers

2 ECONOMIC NOTES Review of Banking, Finance and Monetary Economics Banca Monte dei Paschi di Siena SpA The journal intends to address issues in the elds of banking, nance and monetary economics. Its target audience is not only academics and researchers but also executives working in nancial institutions, rms and the public sector, and it aims at encouraging a dialogue among people with academic, operational, and policy-making positions of responsibility. In order to achieve this target, papers must be plainly written, avoid unnecessary technicalities and make their aims and the relevance of results explicit. The journal will also host innovative papers of a high technical standard, provided they are accompanied by an extensive non-technical summary. All articles will be refereed. ADVISORY BOARD ORAZIO ATTANASIO GIORGIO BASEVI MICHAEL BRENNAN MARCELLO DE CECCO GIOVANNI FERRI HELMUT FRISCH CHARLES A. E. GOODHART DANIEL HEYMANN ANDREW LO BENNETT T. McCALLUM PAOLO MOTTURA ALESSANDRO PRATI ALDO RUSTICHINI THOMAS J. SARGENT STEPHEN SCHAEFER RICHARD STAPLETON JOSEPH E. STIGLITZ GUIDO TABELLINI HIROSHI YOSHIKAWA LUIGI ZINGALES University College London, UK University of Bologna, Italy The Anderson Graduate School of Management, UCLA, USA University of Rome, La Sapienza, Italy University of Bari, Italy University Technology Vienna, Austria London School of Economics, UK CEPAL, Argentina MIT, USA Carnegie-Mellon University, Pittsburgh, USA Bocconi University, Milan, Italy IMF, Washington, USA CentER, Tilburg University, The Netherlands Stanford University, USA London Business School, UK University of Strathclyde in Glasgow, UK Stanford University, USA IGIER, Bocconi University, Milan, Italy University of Tokyo, Japan University of Chicago, USA EDITORIAL BOARD ALESSANDRO VERCELLI (Editor) University of Siena, Italy ANTONIO ROMA (Managing Editor) University of Siena, Italy FLAVIO DELBONO (Associate Editor University of Bologna, Italy and Book Review Editor) IAN COOPER (Associate Editor) London Business School, UK WALTER TOROUS (Associate Editor) The Anderson Graduate School of Management, UCLA, USA CARLO DE IULIS (Managing Director) ALESSANDRO SDERCI (Assistant Managing Director) Anyone wishing to submit material for publication should refer to the Information to Contributors on the inside back cover. Copyright All rights reserved. Apart from fair dealing for the purposes of research or private study, or criticism or review, as permitted under the UK Copyright, Designs and Patents Act 1988, no part of this publication may be reproduced, stored or transmitted in any form or by any means without the prior permission in writing of the Publisher, or in accordance with the terms of photocopying licenses issued by the Copyright Licensing Agency, the Copyright Clearance Center, and other organizations authorised by the Publisher to administer reprographic reproduction rights. Institutions with a paid subscription to this journal may make photocopies for teaching purposes free of charge provided such copies are not resold. Printed and bound by Cambrian Printers, Aberystwyth, UK # Banca Monte dei Paschi di Siena SpA 2001 ISSN

3 ECONOMIC NOTES by BANCA MONTE DEI PASCHI DI SIENA SpA Contents Volume 30 Number PROCEEDINGS OF THE CONFERENCE ON `CAPITAL ADEQUACY REQUIREMENTS: IMPACT AND EVOLUTION' GIOVANNI FERRI: Opening Remarks 319 GIOVANNI CAROSIO: The New Basel Capital Adequacy Framework 327 VIRALV. ACHARYA: Competition Among Banks, Capital Requirements and International Spillovers 337 PATRICK HONOHAN: Perverse Effects of an External Ratings-related Capital Adequacy System 359 REINT GROPP and ANTHONY J. RICHARDS: Rating Agency Actions and the Pricing of Debt and Equity of European Banks: What can we Infer about Private Sector Monitoring of Bank Soundness? 373 MARIA CONCETTA CHIURI, GIOVANNI FERRI and GIOVANNI MAJNONI: Enforcing the 1988 Basel Capital Requirements: Did it Curtail Bank Credit in Emerging Economies? 399 ANTONELLA FOGLIA, SIMONA IANNOTTI and PAOLO MARULLO REEDTZ: The De nition of the Grading Scales in Banks' Internal Rating Systems 421 ANDREA RESTI and CRISTINA OMACINI: Analytical and Empirical Features of Internal Ratings: An Empirical Consistency Test based on Statistical Models 457 FABRIZIO MATTESINI: Capital Requirements in a Financially Driven Business Cycle Model 491 Volume Index 509

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