Basel III capital surcharges for G-SIBs are far less effective in managing systemic risk in comparison to network-based, systemic risk-dependent financial transaction taxes

14429 17 77825 2 214849 document 77825 Basel III capital surcharges .pdf application/pdf 5358c59c5ace81e1452f5c437fc0e687 MD5 248026 2017-05-30 14:15:43 https://pure.iiasa.ac.at/id/eprint/14429/1/Basel%20III%20capital%20surcharges%20.pdf 14429 1 1 application/pdf text en public cc_by

Basel III capital surcharges .pdf

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/77825 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/77825 http://eprints.org/relation/isIndexCodesVersionOf https://pure.iiasa.ac.at/id/document/77825 archive 5 disk0/00/01/44/29 2017-03-06 09:39:51 2021-08-27 17:41:49 2017-03-06 09:39:51 article show Poledna S. 2083 Bochmann O. Thurner S. 1918 Basel III capital surcharges for G-SIBs are far less effective in managing systemic risk in comparison to network-based, systemic risk-dependent financial transaction taxes pub prog_asa Basel III; Systemic Risk; Resilience; Agent-Based Modelling; Self-organisation; Network Optimisation; DebtRank; Banking regulation; Sustainability In addition to constraining bilateral exposures of financial institutions, there exist essentially two options for future financial regulation of systemic risk: First, regulation could attempt to reduce the financial fragility of global or domestic systemically important financial institutions (G-SIBs or D-SIBs), as for instance proposed by Basel III. Second, it could focus on strengthening the financial system as a whole by reducing the probability of large-scale cascading events. This can be achieved by re-shaping the topology of financial networks. We use an agent-based model of a financial system and the real economy to study and compare the consequences of these two options. By conducting three computer experiments with the agent-based model we find that re-shaping financial networks is more effective and efficient than reducing financial fragility. Capital surcharges for G-SIBs could reduce systemic risk, but they would have to be substantially larger than those specified in the current Basel III proposal in order to have a measurable impact. This would cause a loss of efficiency. 2017-04 published Elsevier 10.1016/j.jedc.2017.02.004 235 307 public Journal of Economic Dynamics and Control 77 230-246 TRUE 1879-1743 Complexity Research Initiative for Systemic InstabilitieS (CRISIS, FP7 288501) multi-LAyer SpAtiotemporal Generalized NEtworks (LASAGNE, FP7 318132) Foundational Research on MULTIlevel comPLEX networks and systems (MULTIPLEX, FP7 317532) FALSE yes info:eu-repo/grantAgreement/EC/FP7/288501/EU//CRISIS; info:eu-repo/grantAgreement/EC/FP7/318132/EU//LASAGNE; info:eu-repo/grantAgreement/EC/FP7/317532/EU//MULTIPLEX info:eu-repo/semantics/article info:eu-repo/semantics/embargoedAccess