It is well documented in literature that funding conditions have been subject to the undue influence of distorted incentives of banks to lend and borrow at quarter ends under the Basel III regulatory framework. We investigate whether or not funding risk possibly also suffers the same. Using a state space model, we find quarter-end spikes in the Japanese yen Libor-OIS spread, which arguably reflect a higher funding risk premium at quarter ends, during the global financial crisis and in recent years. The phenomenon in the former episode suggests that quarter-end reporting under Basel II might already have had an effect on the functioning of funding markets, as banks found the capital ratio requirement sharply more binding or constraining. The spikes in the latter episode, which are attributable to the effect of the leverage ratio requirement under Basel III, are found to be negative, partly reflecting the scarcity of high-quality collaterals against the backdrop of a large-scale asset-purchase programme introduced by the Bank of Japan and partly a negative interest rate environment. The evidence adds to the argument in favour of supervisory practices that require banks to report/disclose their average leverage ratio for the quarter instead of their ratio for the last day of the quarter. Indeed, despite the currently proposed reform, the capital ratio remains quarter-end-based, so there could still be quarter-end spikes in funding risk premium in times of financial adversity.

中文翻译：

---

窗户装饰的风险：日元Libor-OIS价差的季度末飙升

在文献中有充分的文献记载，在巴塞尔协议III监管框架下，融资条件受到银行扭曲的季度末借贷动机的不当影响。我们调查资金风险是否也同样受到影响。使用状态空间模型，我们发现日元Libor-OIS利差的季度末峰值，可以说反映了在全球金融危机期间和近年来，季度末的资金风险溢价较高。前一集中的现象表明，《巴塞尔协议二》下的季度末报告可能已经对融资市场的运作产生了影响，因为银行发现对资本比率的要求急剧增加了约束力或约束力。后一集的峰值，被归因于《巴塞尔协议III》下的杠杆比率要求的影响为负，部分反映了日本银行推出大规模资产购买计划的背景下高质量抵押品的匮乏，部分反映了负利率环境。证据增加了支持监管惯例的观点，监管惯例要求银行报告/披露本季度的平均杠杆比率，而不是本季度最后一天的比率。的确，尽管当前提出了改革建议，但资本比率仍以季度末为基础，因此在金融危机时期，融资风险溢价仍可能存在季度末峰值。在日本银行推出大规模资产购买计划的背景下，部分反映了高质量抵押品的稀缺性，另一方面反映了负利率环境。证据增加了支持监管惯例的观点，监管惯例要求银行报告/披露本季度的平均杠杆比率，而不是本季度最后一天的比率。的确，尽管当前提出了改革建议，但资本比率仍以季度末为基础，因此在金融危机时期，融资风险溢价仍可能存在季度末峰值。在日本银行推出大规模资产购买计划的背景下，部分反映了高质量抵押品的稀缺性，另一方面反映了负利率环境。证据增加了支持监管惯例的观点，监管惯例要求银行报告/披露本季度的平均杠杆比率，而不是本季度最后一天的比率。的确，尽管当前提出了改革建议，但资本比率仍以季度末为基础，因此在金融危机时期，融资风险溢价仍可能存在季度末峰值。证据增加了支持监管惯例的观点，监管惯例要求银行报告/披露本季度的平均杠杆比率，而不是本季度最后一天的比率。的确，尽管当前提出了改革建议，但资本比率仍以季度末为基础，因此在金融危机时期，融资风险溢价仍可能存在季度末峰值。证据增加了支持监管惯例的观点，监管惯例要求银行报告/披露本季度的平均杠杆比率，而不是本季度最后一天的比率。的确，尽管当前提出了改革建议，但资本比率仍以季度末为基础，因此在金融危机时期，融资风险溢价仍可能存在季度末峰值。