Enhanced Prudential Standards Under Basel Iii: What Consequences For The Profitability Of Banks

Journal of Optimization in Industrial Engineering

مقاله 2، دوره 14، Special Issue - شماره پیاپی 29، فروردین 2021، صفحه 9-15   

شناسه دیجیتال (DOI): 10.22094/joie.2020.677810

نویسندگان

Selma Haj Khlifa^{* 1}؛ Amal Zaki²

¹Professor, Doctor of Science (Finance), Department of Finance, Groupe ISCAE, Casablanca, Morocco

²Department of Finance, Groupe ISCAE, Casablanca, Morocco, Junior Associate, The Boston Consulting Group

چکیده

Since the subprime financial crisis, international financial regulatory institutions (Basel, MIFID, Dodd-Frank), have strengthened regulatory requirements on systemically important banks. The Basel Committee on Banking Supervision, and based on the G20 recommendations, has drawn up a reform program to reconfigure the banking system, based mainly on increasing the capital requirement. The program has caused strong resistance from the banking industry leaders, saying that an excessive increase in regulatory capital will lead to an increase in the cost of financing of banks, which will have a negative impact on their profitability, and affect in fine the entire economic system. Due to the divergence of opinions regarding the impact of increasing capital requirements on the banking system, and the drastic lack of empirical literature on the Moroccan banking sector, we have decided to direct our research to fill this empirical deficiency. The main question we want to answer through our analytical approach, is how enhanced capital regulation would impact financial performance of the banking industry? Tio which extent this impact could be alleviated through risk management policies? To do so, and based on the empirical literature on this topic, we have conducted an analytical study, through Mathematical Modeling Analysis to compute the impact of the implementation of reinforced capital regulations on the profitability of banks.The goal of this article is to present the results of the impact analysis on the profitability of Moroccan banks using regression model applied to panel data, covering the 2010-2017 time period. The relevance of this study is derived from the several reforms applied to regulation of capital in the worldwide banking industry during the post-financial crisis period, including Morocco. In Morocco, Bank Al Maghrib, the regulator of banks, introduced reforms in the regulation of capital, through circular 14 / G / 2014 and circular 1 / W / 2016, modifying and strengthening the solvency ratios. This article presents the results of an impact study conducted based on the Panel's Multiple Data Regression Model and applied to 6 Moroccan banks during the post-financial crisis period, i.e., 2010-2017.

کلیدواژه‌ها

Basel III Agreement؛ Capital Requirements؛ Moroccan Banking System؛ Return on Assets؛ Return on Equity

مراجع

Admati, A. R., DeMarzo, P. M., Hellwig, M. F., & Pfleiderer, P. C. (2013). Fallacies, Irrelevant Facts, and Myths in the Discussion of Capital Regulation: Why Bank Equity is Not Socially Expensive. SSRN Electronic Journal, 13, 77. Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2349739

Belkhaoui, S., Lakhal, L., & Hellara, S. (2012). Impact de la structure de marché et du choix stratégique sur la performance bancaire : cas des pays émergents. érudit, 16(4), 129-149. Retrieved from https://id.erudit.org/iderudit/1013154ar

Circulaire relative au fonds propres des établissements de crédit. (2013). Retrieved from https://www.apsf.pro/DOCS/TEXTES%20LEG%20ET%20REG/2013_Circ-14-G-sur-FP.pdf

Cousin, S. (2011). Quels sont les facteurs qui permettent d’expliquer les différences de performance entre les banques de détail françaises,pendant la crise, de 2007 à 2009 ? (Master's degree). HEC Paris, Retrieved from http://www.vernimmen.net/ftp/Memoire_S_Cousin.pdf

Denis, G. (2010). Bâle III: un accord insuffisant pour réguler les banques. Retrieved from https://www.philippelamberts.eu/bale-iii-un-accord-insuffisant-pour-reguler-les-banques/

Elliott, D. J. (September 2009). Quantifying the Effects on Lending of Increased Capital Requirements. Retrieved from http://www.centerforfinancialstability.org/forum/elliott_increased_capital_requirements_200909.pdf.   http://www.centerforfinancialstability.org/forum/elliott_increased_capital_requirements_200909.pdf

Härle, P., Lüders, E., Pepanides, T., Pfetsch, S., Poppensieker, T., & Stegemann, U. (November 2010). Basel III and European banking: Its impact, how banks might respond, and the challenges of implementation. Retrieved from https://www.mckinsey.com/~/media/mckinsey/dotcom/client_service/Risk/Working%20papers/26_Basel_III_and_European_banking.ashx

Mayes, D. G., & Stremmel, H. (2014). The Effectiveness of Capital Adequacy Measures in Predicting Bank Distress. SSRN Electronic Journal(1). Retrieved from https://www.researchgate.net/publication/256042383_The_Effectiveness_of_Capital_Adequacy_Measures_in_Predicting_Bank_Distress

Miller, M. H. (1995). Do the M&M propositios apply to banks ? Journal of Banking & Finance, 3(4), 483-489.

Mukhlynina, L. (2012). Bank Capital Requirements and Performance. (Master's Thesis Master's Thesis). University of Zurich, Retrieved from http://www.merlin.uzh.ch/publication/show/11060

Pagano, M. (2005). The Modigliani-Miller Theorems: A Cornerstone of Finance Retrieved from http://www.csef.it/WP/wp139.pdf

Quignon, L. (2017). Impact économique de Bâle III : une adaptation de l’analyse de la BRI à la zone euro Eco-conjoncture. Retrieved from https://economicresearch.bnpparibas.com/Views/DisplayPublication.aspx?type=document&IdPdf=29595

Rapport annuel de la supervision bancaire. (2017). Retrieved from http://www.bkam.ma/Publications-statistiques-et-recherche/Publications-institutionnelles/Rapport-annuel-sur-la-supervision-bancaire/Rapport-annuel-sur-la-supervision-bancaire-exercice-2017