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Working PaPer SerieS no 1075 / July 2009: Bank riSk anD MoneTary PoliCy

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Working PaPer SerieS no 1075 / July 2009: Bank riSk anD MoneTary PoliCy

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The negative coefficient of risk on leverage, both in market and book values, is in line with standard corporate finance arguments, but also consistent with the regulatory view. In its pure form, in which regulation constitutes the overriding departure from the Modigliani and Miller irrelevance proposition, a regulator could force riskier banks to hold more book equity. In that regard, omitting risk from the standard leverage regression (1) would result in spurious significance of the remaining variables. The results in Table VII show this is not the case. Risk does not drive out the other variables. An F-test on the...

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