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Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank >

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dc.contributor.authorHeid, Franken_US
dc.contributor.authorKrüger, Ulrichen_US
dc.date.accessioned2011-03-15en_US
dc.date.accessioned2011-04-06T10:53:07Z-
dc.date.available2011-04-06T10:53:07Z-
dc.date.issued2011en_US
dc.identifier.isbn978-3-86558-687-2en_US
dc.identifier.urihttp://hdl.handle.net/10419/44596-
dc.description.abstractCritics claim that capital requirements can exacerbate credit cycles by restricting lending in an economic downturn. The introduction of Basel 2, in particular, has led to concerns that risksensitive capital charges are highly correlated with the business cycle. The Basel Committee is contemplating a revision of the Basel Accord by introducing counter-cyclical capital buffers. Others claim that capital buffers are already large enough to absorb fluctuations in credit risk. We address the question of the pro-cyclical effects of capital requirements in a general framework which takes into account banks' potential adjustment strategies. We develop a dynamic model of bank lending behavior and simulate different regulatory frameworks and macroeconomic scenarios. In particular, we address two related questions in our simulation study: How do business fluctuations affect capital requirements and bank lending? To what extent does the capital buffer absorb fluctuations in the level of mimimum required capital?en_US
dc.language.isoengen_US
dc.publisherDeutsche Bundesbank Frankfurt am Mainen_US
dc.relation.ispartofseriesDiscussion Paper Series 2: Banking and Financial Studies 2011,03en_US
dc.subject.jelC61en_US
dc.subject.jelE32en_US
dc.subject.jelE44en_US
dc.subject.jelG21en_US
dc.subject.ddc330en_US
dc.subject.keywordMinimum capital requirementsen_US
dc.subject.keywordregulatory capitalen_US
dc.subject.keywordcapital bufferen_US
dc.subject.keywordcyclical lendingen_US
dc.subject.keywordpro-cyclicalityen_US
dc.titleDo capital buffers mitigate volatility of bank lending? A simulation studyen_US
dc.typeWorking Paperen_US
dc.identifier.ppn654088020en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:bubdp2:201103-
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

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