文章基本信息

标题：The Effect of Central Bank Communication on the Capital Buffer of Banks: Evidence from an Emerging Economy
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作者：Rodolfo Tomás da Fonseca Nicolay ; Claudio Oliveira de Moraes ; Bruno Pires Tiberto 等
期刊名称：Econometric Research in Finance
印刷版ISSN：2451-1935
电子版ISSN：2451-2370
出版年度：2018
卷号：3
期号：1
页码：1-26
DOI：10.33119/ERFIN.2018.3.1.1
摘要：The global financial crisis has revealed that the coordination between monetary policy and financial stability should be part of economic policy. This study examines the effects of monetary policy on the capital buffer (financial stability proxy) in the Brazilian economy and, in particular, how communication about both monetary policy and normative macroprudential policy affect the capital buffer maintained by banks. The study presents three main results: i) banks react strongly to monetary policy changes by increasing (reducing) the capital buffer in response to an increase (decrease) in the interest rate; ii) banks increase (decrease) the capital buffer when the central bank monetary policy communication signals an increase (decrease) in interest rates; and iii) banks use the capital buffer to accommodate the new measures of regulatory capital: the announcement of restrictive (liberalizing) capital measures reduces (increases) the capital buffer.
其他摘要：The global financial crisis has revealed that the coordination between monetary policy and financial stability should be part of economic policy. This study examines the effects of monetary policy on the capital buffer (financial stability proxy) in the Brazilian economy and, in particular, how communication about both monetary policy and normative macroprudential policy affect the capital buffer maintained by banks. The study presents three main results: i) banks react strongly to monetary policy changes by increasing (reducing) the capital buffer in response to an increase (decrease) in the interest rate; ii) banks increase (decrease) the capital buffer when the central bank monetary policy communication signals an increase (decrease) in interest rates; and iii) banks use the capital buffer to accommodate the new measures of regulatory capital: the announcement of restrictive (liberalizing) capital measures reduces (increases) the capital buffer.
关键词：central bank communication; capital buffer; monetary policy; financial stability