Countercyclical Capital Buffers: Exploring Options

Drehmann, Mathias; Borio, Claudio; Gambacorta, Leonardo; Jiménez, Gabriel; Trucharte, Carlos

doi:10.2139/ssrn.1648946

Cited by 222 publications

(195 citation statements)

References 16 publications

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“…The implementation of this buffer requires the selection of those factors (leading indicators) that will point to the large accumulation of risks, the timing of the changes and the degree of intensity with which this buffer should be used. 22 The supervisory authorities of each country will make the decision to implement the countercyclical buffer, based on the deviation of the ratio of the bank loans to the country's GDP from its trend (BCBS, 2011;Drehmann, 2010). This deviation is the basic reference point 23 , but other factors such as asset prices, yield spreads, credit default swaps, survey studies, the phase of the economic cycle, and the possibility of misleading signals may supplement it.…”

Section: Figurementioning

confidence: 99%

Bank procyclicality and output: Issues and policies

Athanasoglou¹,

Daniilidis

Delis

2014

Journal of Economics and Business

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The recent global financial crisis has highlighted the importance of the procyclicality of the financial sector. The procyclicality has transformed banks from mitigation mechanisms to amplifiers of changes in economic activity, potentially affecting financial stability and economic growth. The causes of procyclicality can be attributed to market imperfections and deviations from the efficient market hypothesis, while other factors including the Basel-type regulations, accounting standards and leverage have exacerbated it. Several suggestions have been forwarded to attenuate procyclicality, in the form of rules and discretion. They are presented here according to the factors they aim to alleviate. Some of the suggestions have been adopted under the Basel III framework, which explicitly addresses the procyclicality issue.

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Section: Figurementioning

confidence: 99%

Bank procyclicality and output: Issues and policies

Athanasoglou¹,

Daniilidis

Delis

2014

Journal of Economics and Business

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“…The buildup of capital buffers to be used in stress periods at individual bank and sector level aims to achieve a macroprudential goal of guarding the banking sector against periods and aftermaths of excessive credit growth (BCBS 2010a). Drehmann et al (2010) suggest that the ultimate goals for CCB schemes are twofold. Firstly, the schemes should attempt to limit risk of large-scale strains on banking systems.…”

Section: Countercyclical Capital Buffermentioning

confidence: 99%

“…Drehmann et al (2010) suggest that achieving all these features present significant challenges as fully rules-based schemes allow for no judgement of false signals. Furthermore, making these schemes simple and transparent as well as internationally enforceable limits modelling-based measures.…”

Section: Countercyclical Capital Buffermentioning

confidence: 99%

Filter selection for countercyclical capital buffers

Visser

Vuuren

2018

SAJEMS

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Background: Procyclicality plays a pivotal role in finance in both thriving and crisis periods. This influence stems not only from the way market participants behave but also from risk metrics used and regulatory capital amassed and released during bust and boom periods, respectively. The introduction of the regulatory Countercyclical Capital Buffer aims to thwart procyclicality by accumulating (releasing) capital in upswings (downswings), subsequently reducing the amplitude of the financial cycle and promoting macroprudential stability. The timing of the accumulation and release of buffer capital is critical so identifying accurate indicators is important. Aim: This paper applies a Kalman filter to South African data and confirms the procyclicality of the Basel Committee on Banking Supervision (BCBS) proposal. Setting: For South Africa, studies suggest alternatives such as residential property indices because research has demonstrated that the BCBS proposal is procyclical rather than countercyclical. Methods: This paper applies a Kalman filter to South African data and compares the results obtained with those filtered using the Hodrick–Prescott filter. Results: Results indicate that buffer signals are dependent upon the filter employed. Conclusion: Buffer signals are strongly dependent upon the filter employed to detect procyclicality. The South African Reserve Bank and other regulators should reconsider the use of the Hodrick–Prescott filter and entertain the possibility of using the Kalman filter instead.

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“…a vecm-ek mellett előforduló eljárás még, hogy a reálgazdaság és a hitelezés egyensúlyi kapcsolatának és egymásra hatásának megragadására állapot tér modelleket (elsősorban Kálmán-szűrőt) használnak. Compton-da Costa e Silva [2005] a pénzügyi ciklust is figyelembe véve becsli meg az egyesült államok potenciális kibocsátását, illetve Mody és szerzőtársai [2007] az észak-amerikai és fejlett európai országok egyensúlyi gdP-jét. az állapottérmodellek a fent bemutatott modellekhez képest azzal az előnnyel rendelkeznek, hogy képesek strukturális, közgazdasági összefüggéseket is figyelembe venni a becslés során, méghozzá a vecm-ekhez képest általánosabb módon.…”

Section: Az Anticiklikus Tőkepuffer Bevezetésével Kapcsolatban Az Eurunclassified

Egy- és többváltozós szűrők a hitelrés alakulásának meghatározására

Hosszú¹,

Körmendi²,

Mérõ³

2016

Közgazdasági Szemle

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Közgazdasági szemle , lX iii. évf., 2016. március (233-259. o.) Hosszú zsuzsanna-Körmendi gyöngyi-mérő Bence egy-és többváltozós szűrők a hitelrés alakulásának meghatározására szakirodalmi áttekintés a hitelpiacok ciklikus pozíciójának, a túlzott hitelezési időszakoknak a vizsgá-lata nem ismeretlen az irodalomban, és különösen a 2008-ban kezdődő válság hatására lett egyre népszerűbb téma. a kérdés fontosságára magyarországon a lakossági devizahitelezéssel kapcsolatos, társadalmi szinten is jelentős problémák világítottak rá. számos, a későbbiekben bemutatott tanulmány alapján a túlzot-tan pozitív hitelrés (hitelciklus pozitív szakasza) makrogazdasági egyensúlytalan-ságok kialakulására utaló jel lehet, ami válságot okozhat. ugyanakkor a túlságo-san negatív hitelrés arra mutat rá, hogy a pénzügyi közvetítőrendszer nem tölti be * a szerzők köszönettel tartoznak hasznos észrevételeikért Banai Ádámnak, Lieli Róbertnek, Várpalotai Viktornak és Világi Balázsnak.

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Countercyclical Capital Buffers: Exploring Options

Cited by 222 publications

References 16 publications

Bank procyclicality and output: Issues and policies

Bank procyclicality and output: Issues and policies

Filter selection for countercyclical capital buffers

Egy- és többváltozós szűrők a hitelrés alakulásának meghatározására

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