Best Option for Countercyclical Capital Buffer Implementation - Scenarios for Baltic States
Description
The objective of countercyclical capital buffer is to
encourage banks to build up buffers in good times that can be drawn
down in bad times. The aim of the report is to assess such decisions
by banks derived from three approaches. The approaches are the
aggregate credit-to-GDP ratio, credit growth as well as banking
sector profits. The approaches are implemented for Estonia, Latvia
and Lithuania for the time period 2000-2012. The report compares
three approaches and analyses their relevance to the Baltic States by
testing the correlation between a growth in studied variables and a
growth of corresponding gaps. Methods used in the empirical part of
the report are econometric analysis as well as economic analysis,
development indicators, relative and absolute indicators and other
methods. The research outcome is a cross-Baltic comparison of two
alternative approaches to establish or release a countercyclical capital
buffer by banks and their implications for each Baltic country.
Files
10001047.pdf
Files
(145.6 kB)
| Name | Size | Download all |
|---|---|---|
|
md5:2a6930660fc3987fdf8d394ae7796553
|
145.6 kB | Preview Download |
Additional details
References
- Balin B. J. (2008). Basel I, Basel II, and Emerging Markets: A Nontechnical Analysis. The Johns Hopkins University School of Advanced International Studies.
- Bank for International Settlements (BIS). (2006). Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework. Available at: http://www.bis.org
- Bank for International Settlements (BIS). (2010), 80th Annual Report, Basel. Available at: http://www.bis.org
- IMF. (2011). World economic outlook. Available at: http://www.imf.otg.
- Kunghehian N. (2012). From Basel II to Basel III, Moody`s analytics.
- Moody`s analytics. (2012). Basel III New Capital and Liquidity Standards – FAQs.
- King P. and Tarbert H. (2011). Basel 3: An Overview. Banking and Financial services, Volume, 30.
- Basel Committee on Banking Supervision. (2009). Strengthening the Resilience of the Banking Sector, Consultative Document. Available at: http://www.bis.org
- Basel Committee on Banking Supervision. (2010). Countercyclical capital buffer proposal. Available at: http://www.bis.org [10] Basel Committee on Banking Supervision. (2011). Basel III: A global regulatory framework for more resilient banks and banking systems. Available at: http://www.bis.org [11] Kauko K. (2012). External deficits and non–performing loans in the recent financial crisis. Economics Letters 115. 196–199. [12] Drehmann, M., and Gambacorta L. (2011). The Effects of Countercyclical Capital Buffers on Bank Lending. Applied Economic Letters. [13] Basel Committee on Banking Supervision. (2010). Guidance for National Authorities Operating the Countercyclical Capital. Available at: http://www.bis.org [14] Drehmann M., Borio C., Gambacorta L., Jiménez G., Trucharte C. (2010). Countercyclical capital buffers: exploring options. BIS Working Papers No 317. [15] Borio C. and Drehmann M. (2009). Assessing the Risk of Banking Crises — Revisited. BIS Quarterly Review (March). 29–46. [16] Alessi, L., and Detken C. (2011). Quasi Real Time Early Warning Indicators for Costly Asset Price Boom/Bust Cycles: A Role for Global Liquidity. European Journal of Political Economy 27 (3). 520–33. [17] Drehmann M., Borio C. and Tsatsaronis K. (2011). Anchoring Countercyclical Capital Buffers: The Role of Credit Aggregates. Monetary and Economic Department, Bank for International Settlements. [18] Repullo R., Saurina J., 2011, "The countercyclical capital buffer of Basel III. A critical assessment", Bank of Spain. URL: ftp://ftp.cemfi.es/pdf/papers/repullo/Repullo [19] Trenca I., Dezsi E., Petria N., 2011, "BASEL III: Countercyclical Capital Buffer proposal – the case of Romania"