| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7388 |
| DP7388 Monetary Policy, Velocity, and the Equity Premium | |
| J David López-Salido; Christopher Gust | |
| 发表日期 | 2009-08-02 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | This paper compares alternative procedures to mitigate the procyclicality of the new risk-sensitive bank capital regulation (Basel II). We estimate a model of the probabilities of default (PDs) of Spanish firms during the period 1987-2008, and use the estimated PDs to compute the corresponding series of Basel II capital requirements per unit of loans. These requirements move significantly along the business cycle, ranging from 7.6% (in 2006) to 11.9% (in 1993). The comparison of the different procedures is based on the criterion of minimizing the root mean square deviations of each smoothed series with respect to the Hodrick-Prescott trend of the original series. The results show that the best procedures are either to smooth the inputs of the Basel II formula by using through-the-cycle PDs or to smooth the output with a multiplier based on GDP growth. Our discussion concludes that the latter is better in terms of simplicity, transparency, and consistency with banks? risk pricing and risk management systems. For the portfolio of Spanish commercial and industrial loans and a 45% loss given default (LGD), the multiplier would amount to a 6.5% surcharge for each standard deviation in GDP growth. The surcharge would be significantly higher with cyclically-varying LGDs. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Bank capital regulation Basel ii Business cycles Credit crunch Procyclicality |
| URL | https://cepr.org/publications/dp7388 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536225 |
| 推荐引用方式 GB/T 7714 | J David López-Salido,Christopher Gust. DP7388 Monetary Policy, Velocity, and the Equity Premium. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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