| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8304 |
| DP8304 The Countercyclical Capital Buffer of Basel III: A Critical Assessment | |
| Rafael Repullo; Jesús Saurina | |
| 发表日期 | 2011-03-21 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We provide a critical assessment of the countercyclical capital buffer in the new regulatory framework known as Basel III, which is based on the deviation of the credit-to-GDP ratio with respect to its trend. We argue that a mechanical application of the buffer would tend to reduce capital requirements when GDP growth is high and increase them when GDP growth is low, so it may end up exacerbating the inherent pro-cyclicality of risk-sensitive bank capital regulation. We also note that Basel III does not address pro-cyclicality in any other way. We propose a fully rule-based smoothing of minimum capital requirements based on GDP growth. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Bank capital regulation Basel iii Business cycles Credit crunch Pro-cyclicality |
| URL | https://cepr.org/publications/dp8304 |
| 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/537141 |
| 推荐引用方式 GB/T 7714 | Rafael Repullo,Jesús Saurina. DP8304 The Countercyclical Capital Buffer of Basel III: A Critical Assessment. 2011. |
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