Please use this identifier to cite or link to this item:
https://hdl.handle.net/10419/44596
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Heid, Frank | en |
dc.contributor.author | Krüger, Ulrich | en |
dc.date.accessioned | 2011-03-15 | - |
dc.date.accessioned | 2011-04-06T10:53:07Z | - |
dc.date.available | 2011-04-06T10:53:07Z | - |
dc.date.issued | 2011 | - |
dc.identifier.isbn | 978-3-86558-687-2 | en |
dc.identifier.uri | http://hdl.handle.net/10419/44596 | - |
dc.description.abstract | Critics 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 |
dc.language.iso | eng | en |
dc.publisher | |aDeutsche Bundesbank |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aDiscussion Paper Series 2 |x2011,03 | en |
dc.subject.jel | C61 | en |
dc.subject.jel | E32 | en |
dc.subject.jel | E44 | en |
dc.subject.jel | G21 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Minimum capital requirements | en |
dc.subject.keyword | regulatory capital | en |
dc.subject.keyword | capital buffer | en |
dc.subject.keyword | cyclical lending | en |
dc.subject.keyword | pro-cyclicality | en |
dc.title | Do capital buffers mitigate volatility of bank lending? A simulation study | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 654088020 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:bubdp2:201103 | en |
Files in This Item:
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.