Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154037
Authors: 
Behn, Markus
Detken, Carsten
Peltonen, Tuomas A.
Schudel, Willem
Year of Publication: 
2013
Series/Report no.: 
ECB Working Paper 1604
Abstract: 
This paper assesses the usefulness of private credit variables and other macrofinancial and banking sector indicators for the setting of Basel III / CRD IV countercyclical capital buffers (CCBs) in a multivariate early warning model framework, using data for 23 EU Members States from 1982 Q2 to 2012 Q3. We find that in addition to credit variables, other domestic and global financial factors such as equity and house prices as well as banking sector variables help to predict vulnerable states of the economy in EU Member States. We therefore suggest that policy makers take a broad approach in their analytical models supporting CCB policy measures.
Subjects: 
banking crises
Basel III
countercyclical capital buffer
CRD IV
early warning model
financial regulation
JEL: 
G01
G21
G28
Document Type: 
Working Paper

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