Procyclicality and Volatility in the Financial System: the Implementation of Basel II and IAS 39

Taylor, Ashley; Goodhart, Charles

doi:10.1057/9781137001535_2

Cited by 45 publications

(33 citation statements)

References 10 publications

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“…If banks follow this recommendation, the relative change in capital requirements between the peak and the lowest point of the cycle is reduced to almost 1/5 compared with using one year of data. It is now widely recognized that the proper application of stress tests can offset Basel II's procyclicality (Taylor and Goodhart, 2004). …”

Section: Arguments In Favor Of the Counter-cyclical Behavior Of Basel IImentioning

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: Arguments In Favor Of the Counter-cyclical Behavior Of Basel IImentioning

confidence: 99%

Bank procyclicality and output: Issues and policies

Athanasoglou¹,

Daniilidis

Delis

2014

Journal of Economics and Business

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“…-IFRS 5 (Zülch; Lienau, 2004) and IAS 39 (Fiechter 2011;Taylor;Goodhart, 2006;Walton 2004;) and Circular 262/2005 on the classification and valuation of discontinued assets and liabilities assets, which include the disclosure of the assets to be sold and the associated liabilities in specific items Active and passive, respectively items 140 and 90, at the lower of the book value and their fair value, which coincides with the realization or extinction, and the exposure to the income statement of the results of those assets and liabilities in item 280 "Profit (Loss) disposal net of taxes".…”

Section: ) Application Of Ias 1 Par 19mentioning

confidence: 99%

The Balance between Exceptional Cases and the Risk of Fake: An Ever Present Theme

Bianchi¹

2018

IJBM

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Purpose: The purpose of this paper is to show that the false in the budget is due to false accounting and not false evaluation.Design/methodology/approach: Research articles from the most relevant Italian and foreign journals, from the period when this phenomenon was studied by the doctrine, in favor of or against the reformed subject, to ensure a complete analysis of the case. Practical case refers to work experience from the author of the paper. The methodology used in the paper is that of qualitative analysis. Originality:The author proposes this paper because on this reform most of the doctrine has expressed often divergent opinion and the author wanted to clarify the phenomenon. Findings:The author demonstrates, by the case, that there are several ways to represent the business reality correctly and therefore that the false in the budget can be objectively present in the accounting and not in the valuation.

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“…The opposite will occur in the benign part of the business cycle. A good summary of arguments supporting this view, focusing on the content of Basel II, can be found in Taylor and Goodhart (2004). Alternative arguments, again focusing on the Basel II proposal, appear in Gordy and Howells (2006).…”

Section: Procyclicality and The Mortgage Marketmentioning

confidence: 99%

“…See, among others,Borio et al (2001),Ervin and Wilde (2001),Allen and Saunders (2004),Amato and Furfine (2004),Ayuso et al (2004),Kashyap and Stein (2004),Taylor and Goodhart (2004),Catarineu- Rabell et al (2005),Gordy and Howells (2006),Repullo and Suárez (2006) andWhite (2006). Separately,Pennacchi (2005) andMadan and Unal (2006) study the procyclicality but, in this case, with regard to deposit insurance.…”

mentioning

confidence: 99%