Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/44596 
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dc.contributor.authorHeid, Franken
dc.contributor.authorKrüger, Ulrichen
dc.date.accessioned2011-03-15-
dc.date.accessioned2011-04-06T10:53:07Z-
dc.date.available2011-04-06T10:53:07Z-
dc.date.issued2011-
dc.identifier.isbn978-3-86558-687-2en
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 2 |x2011,03en
dc.subject.jelC61en
dc.subject.jelE32en
dc.subject.jelE44en
dc.subject.jelG21en
dc.subject.ddc330en
dc.subject.keywordMinimum capital requirementsen
dc.subject.keywordregulatory capitalen
dc.subject.keywordcapital bufferen
dc.subject.keywordcyclical lendingen
dc.subject.keywordpro-cyclicalityen
dc.titleDo capital buffers mitigate volatility of bank lending? A simulation study-
dc.typeWorking Paperen
dc.identifier.ppn654088020en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp2:201103en

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