publication . Article . Preprint . 2012

a multiplicative model of countercyclical capital buffer evaluation differentiated by homogeneous clusters of countries

Fuad Aleskerov; Azamat Keskinbaev; Henry Penikas;
Open Access
  • Published: 01 Jan 2012 Journal: SSRN Electronic Journal (eissn: 1556-5068, Copyright policy)
  • Publisher: Elsevier BV
Abstract
The Basel Committee introduced countercyclical capital buffers in order to mitigate the effects of bank capital procyclicality, which is to say the decrease in the capital adequacy of banks in economic downturns. The ratio of loans to GDP was taken as the proxy for the economic cycle signaling variable. Nevertheless, Repullo and Saurina (2011) have proven that the credit-to-GDP ratio is not as accurate at predicting the stage of economic cycle as the GDP growth rate. They proposed a theoretical framework for capital buffer calculations based on GDP growth rate dynamics. We extend the countercyclical capital buffer analysis in two directions. First, empirical cri...
Subjects
free text keywords: Basel III, capital buffer, minimum capital requirements, credit-to-GDP, pattern cluster analysis, Monetary economics, Economic policy, Economics, Multiplicative model, Capital adequacy ratio, Business cycle, Bank capital, Basel III, Homogeneous clusters, Homogeneous, jel:C38, jel:C61, jel:G20, jel:G21, jel:G28
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publication . Article . Preprint . 2012

a multiplicative model of countercyclical capital buffer evaluation differentiated by homogeneous clusters of countries

Fuad Aleskerov; Azamat Keskinbaev; Henry Penikas;