I would like to investigate the effectiveness of Basel III Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) in containing systemic risk during crises. As far as I know, a few studies specifically focus on this point and my idea would be that of carrying out the empirical analysis trough a panel data regression. At a first sight, I think it could be appropriate to collect observations at a bank level (even if requirements are settled at nation level) and controlling for bank-specific characteristics and macroeconomic variables and clearly adding a dummy variable for crisis periods as well as interaction terms with LCR and NSFR. Then, I will rule out two alternative hypothesis, adding respectively capital adequacy metrics and monetary policy stance. I was willing to confront with those of you who have experience of interests in this field. Thank you.
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You should definitely try to collect data on bank level.
As you say there is a lot of heterogeneity among banks, even if the liquidity requirement is set on national level you will benefit from bank level data, since you still want to control for many variables that are bank specific, such as how systemically important certain banks are. Moreover, fixed effects will allow you to control for bank level unobservable that are time invariant which is nice bonus.
On a practical note, nowadays it is very difficult to publish research based just on aggregate data.
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$\begingroup$ Thank you very much for your feedback. $\endgroup$ Commented Feb 3 at 17:24