Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83369
Authors: 
Geršl, Adam
Seidler, Jakub
Year of Publication: 
2012
Series/Report no.: 
IES Working Paper 3/2012
Abstract: 
Excessive credit growth is often considered to be an indicator of future problems in the financial sector. This paper examines the issue of how to determine whether the observed level of private sector credit is excessive in the context of the countercyclical capital buffer, a macroprudential tool proposed in the new regulatory framework of Basel III by the Basel Committee on Banking Supervision. An empirical analysis of selected Central and Eastern European countries, including the Czech Republic, provides alternative estimates of excessive private credit and shows that the HP filter calculation proposed by the Basel Committee is not necessarily a suitable indicator of excessive credit growth for converging countries.
Subjects: 
Basel regulation
credit growth
financial crisis countercyclical buffer
JEL: 
G01
G18
G21
Document Type: 
Working Paper
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