Research by Dr Stanimira Milcheva recognised in Best Research Output award

26 February 2015

Research by Dr Stanimira Milcheva recognised in Best Research Output award

Dr Stanimira Milcheva, Lecturer in Real Estate Finance and Economics in the School of Real Estate & Planning, is runner-up in this year’s Research Endowment Trust Fund Best Research Output Prize with her paper "Cross-country effects of regulatory capital arbitrage".

Dr Stanimira Milcheva, Lecturer in Real Estate Finance and Economics in the School of Real Estate & Planning, is runner-up in this year’s Research Endowment Trust Fund Best Research Output Prize with her paper "Cross-country effects of regulatory capital arbitrage". Each year, the University's Research Endowment Trust Fund awards prizes for the best research outputs. The prizes are awarded to acknowledge the continuing importance of high quality research to the University and competitions are run at faculty level, with nominees generated via competitions within schools and departments. Stanimira's paper, which was judged by the panel to be "consistently strong across the criteria of rigour, significance and originality", was runner-up for the Henley Business School.

The paper, which has been published by the Journal of Banking & Finance, looks at the effects of regulatory capital arbitrage on asset prices in a large sample of developed countries. The study uses a global vector autoregressive (GVAR) methodology and conducts a counterfactual experiment to disentangle the effects of regulatory arbitrage following a change in the net capital rule for investment banks in April 2004 and the adoption of the Basel II Accord in June 2004. The research shows the existence of an international finance multiplier, with about half of the countries overshooting the U.S. response to an unexpected change in the balance sheet of investment banks. The experiment shows that regulatory arbitrage via the U.S. securitized sector may enhance the cross-country reallocation of capital away from housing and into equity.

The full text of the paper is available here.

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