The cyclical effects of the Basel II capital requirements

被引：87

作者：

Heid, Frank ^{[1
]}

机构：

[1] Deutsch Bundesbank, D-60431 Frankfurt, Germany

来源：

JOURNAL OF BANKING & FINANCE | 2007年 / 31卷 / 12期

关键词：

minimum capital requirements; regulatory capital; economic capital; capital buffer;

D O I：

10.1016/j.jbankfin.2007.03.004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Capital requirements play a key role in the supervision and regulation of banks. The Basel Committee on Banking Supervision is in the process of changing the current framework by introducing risk sensitive capital charges. Some fear that this will unduly increase the volatility of regulatory capital. Furthermore, by limiting the banks' ability to lend, capital requirements may exacerbate an economic downturn. The paper examines the problem of capital-induced lending cycles and. their pro-cyclical effect on the macroeconomy in greater detail. It finds that the capital buffer that banks hold on top of the required minimum capital plays a crucial role in mitigating the impact of the volatility of capital requirements. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：3885 / 3900

页数：16

共 27 条

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