Papers by Patricia Jackson
, to discuss the complex interrelations between states and fi nancial systems, which have develop... more , to discuss the complex interrelations between states and fi nancial systems, which have developed over the past fi ve years of the economic, fi nancial and sovereign debt crisis. Instability in banking has spread to states and vice versa, with failures in both sectors looming. Economic and political fragility are feeding each other. The crisis increasingly hurts the real economy. This in turn further worsens public fi nances and bank balance sheets.
The paper reviews the empirical evidence on the impact of the 1988 Basle Accord. It focuses on wh... more The paper reviews the empirical evidence on the impact of the 1988 Basle Accord. It focuses on whether the adoption of fixed minimum capital requirements led some banks to maintain higher capital ratios than would otherwise have been the case and whether any increase in ratios was achieved by increasing capital or reducing lending. Moreover, it addresses whether fixed capital requirements have been successful in limiting risk-taking relative to capital as intended, or whether banks have been able to take actions to reduce their effectiveness, either by shifting to riskier assets within the same weighting band or through capital arbitrage. It looks at two possible side effects. Firstly, whether in some periods capital requirements may have had the effect of constraining bank lending thereby causing a credit crunch. Secondly, whether the introduction of fixed minimum requirements for banks affected their competitiveness relative to other forms of intermediation. * For this paper suppo...
Basle Committee on …, 1999
For this paper support and drafting were provided by various members of the Bank of England staff... more For this paper support and drafting were provided by various members of the Bank of England staff, in particular Tolga Ediz and Andy Logan. The Working Papers of the Basle Committee on Banking Supervision contain analysis carried out by experts of the Committee or its working groups. They may also reflect work carried out by one or more member institutions or by its Secretariat. The subjects of the Working Papers are of topical interest to supervisors and are technical in character. The views expressed in the Working Papers are those of their authors and do not represent the official views of the Basle Committee, its member institutions or the BIS.
This paper provides an analysis of the competitive process in the market for personal current acc... more This paper provides an analysis of the competitive process in the market for personal current accounts in the UK. Using NOP survey data, we first describe some stylised developments in this market over the past few years. We find a gradual change in the distribution of market shares over time. This contrasts with a marked dispersion in price, which appears to persist through time. Analysing the evolution of market shares, we address two key questions (i) Are bank market shares responding to price differentials? (ii) If not, which type of imperfect competition best fits the data? Our conclusions point to the existence of customer switching costs as a key determinant of the nature of competition in the market for personal current accounts.
SSRN Electronic Journal, 1998
Introduction 1.1 Trading risk and the Basle Accord 1.2 Additive capital requirements 1.3 The Basl... more Introduction 1.1 Trading risk and the Basle Accord 1.2 Additive capital requirements 1.3 The Basle alternative approach 1.4 Regulatory safeguards 1.5 Value-at-risk analysis 2 Empirical analysis of VaRs 2.1 Trading books 2.2 Return data 2.3 Parametric VaR analysis 2.4 Forecasting performance and window length 2.5 Weighting schemes 2.6 Parametric versus non-parametric VaRs 2.7 The inclusion of estimated means 2.8`Spike' loss periods 2.9 Basle alternative approach capital calculations 2.10 The Basle approach to back-testing 3 Conclusion References Tables Charts
Journal of Banking & Finance, 2000
This introduction places in context the papers on credit risk modelling contained in the special ... more This introduction places in context the papers on credit risk modelling contained in the special issue. We explain why credit risk modelling has become such a focus of interest for practitioners and ®nancial supervisors. Even though, as we explain, the current modelling technologies have signi®cant weaknesses, they oer the possibility of major changes in the ways banks are managed and regulated. The main impediment to greater use of these models, especially by regulators, is the diculty involved in backtesting the risk measures they produce. We suggest some thoughts on how back-testing and other types of model assessment might be performed.
� The views expressed here are those of the authors and do not necessarily reflect those of the B... more � The views expressed here are those of the authors and do not necessarily reflect those of the Bank of England
World Scientific Studies in International Economics, 2006
AbstractThe following sections are included:IntroductionHome–Host Division of ResponsibilityBasel... more AbstractThe following sections are included:IntroductionHome–Host Division of ResponsibilityBasel IIHome State is King?Information SharingThe Views of the BanksSolutions Proposed by BanksWays ForwardReferences
The paper reviews the empirical evidence on the impact of the 1988 Basle Accord. It focuses on wh... more The paper reviews the empirical evidence on the impact of the 1988 Basle Accord. It focuses on whether the adoption of fixed minimum capital requirements led some banks to maintain higher capital ratios than would otherwise have been the case and whether any increase in ratios was achieved by increasing capital or reducing lending. Moreover, it addresses whether fixed capital requirements have been successful in limiting risk-taking relative to capital as intended, or whether banks have been able to take actions to reduce their effectiveness, either by shifting to riskier assets within the same weighting band or through capital arbitrage. It looks at two possible side effects. Firstly, whether in some periods capital requirements may have had the effect of constraining bank lending thereby causing a credit crunch. Secondly, whether the introduction of fixed minimum requirements for banks affected their competitiveness relative to other forms of intermediation. For this paper support...
The views expressed here are those of the authors and do not necessarily reflect those of the Ban... more The views expressed here are those of the authors and do not necessarily reflect those of the Bank of England or the International Financial Stability Programme of the L.S.E. or the University of Pompeu Fabra. The authors are grateful to Glenn Hoggarth and seminar participants at the Bank of England and the University of Oxford for helpful comments and remarks. However, all remaining errors are ours.
Journal of Financial Crime, 2004
Journal of Banking & Finance, 2002
The views expressed are those of the authors and do not necessarily reflect those of the Bank of ... more The views expressed are those of the authors and do not necessarily reflect those of the Bank of England. We thank Fiona Mann, Pamela Nickell and participants at a Bank of England conference on Systemic Risk in Banking in May 2001, especially Mark Carey, for helpful comments and Milan Kutmutia for research assistance.
Finance and Regulation seminar series at the Judge …, 2001
ABSTRACT Its been observed that there are parallels between the factors leading to domestic regul... more ABSTRACT Its been observed that there are parallels between the factors leading to domestic regulation of banks and international agreements on minimum standards such as, risk of contagion which is high in both international activity banks as well as in domestic market. This paper examines the reasons for international agreements on financial regulation and considers whether the drivers are the same as those behind domestic financial regulation, with particular reference to regulation of banks. In this context, international capital standards announced by the Basel Committee on Banking Supervision have proved to be the cornerstone of bank regulation across the globe.
Financial Stability Review, 2002
Bank of England Quarterly Bulletin, 2001
On 16 January 2001 the Basel Committee released a consultation package setting out the details of... more On 16 January 2001 the Basel Committee released a consultation package setting out the details of the new Accord.(1) Comments are requested by the end of May and the Committee is expecting to release the final version of the Accord by end-2001 for implementation in 2004. A ...
Journal of Banking & Finance, 2002
The papers in this special issue were presented at a conference on Banks and Systemic Risk held a... more The papers in this special issue were presented at a conference on Banks and Systemic Risk held at the Bank of England from 23-25 May 2001. 1 The papers covered three broad areas-banks and systemic risk; theory and evidence of market discipline and signals of bank fragility; and capital requirements and crisis prevention. The view that weakness in the banking sector may have serious systemic effects on the economy more generally hinges on several issues. Since the early 19th century (Thornton, 1802), it has been recognised that problems in one bank can spill over into more widespread difficulties in the sector. The nature of the contracts banks hold (short-term deposits and longer-term loans) exposes them to the possibility of runs; and linkages between banks combined with information asymmetries between counterparties and banks make them vulnerable to contagion. A number of papers have focussed on bank runs (e.g. Diamond and Dybvig, 1983) and the transmission mechanism of problems from one bank to others (e.g. Freixas et al., 2000). Other papers (e.g. Bernanke, 1983) have focussed on the wider costs to the economy if banks fail. This reflects the central position of banks in the payments system and their special role in intermediating flows of funds to small firms and the retail sector. One issue addressed at the conference was whether banking crises do in fact impose externalities on the system. It has been suggested that, with the growth of substitutes for bank intermediation particularly through the development of securities markets, bank failures may not impose substantial costs on economies. Hoggarth, Reis and Saporta ('Costs of banking system instability: some empirical evidence') review the estimates of fiscal costs incurred in dealing with a banking crisis and also
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Papers by Patricia Jackson