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The Countercyclical Capital Buffer

其他書名	An Empirical Study of Its Ability to Dampen Procyclicality
出版	University of North Carolina at Charlotte, 2013
URL	http://books.google.com.hk/books?id=A2J0oAEACAAJ&hl=&source=gbs_api

註釋In an attempt to reduce procyclicality in bank risk-based capital requirements, the Basel Committee of Banking Supervision has introduced a countercyclical capital buffer. In the current proposal, the natural starting point for setting the countercyclical capital buffer is based on a country's credit-to-GDP gap (deviations of credit-to-GDP ratio from its long-term trend). This paper extends the empirical analysis of Repuello and Saurina (2011), who find that the credit-to-GDP gap is actually negatively correlated with the business cycle for five of seven countries studied. Specifically, I extend their analysis by using a much larger sample and by including an assessment of whether credit growth, when measured in deviations from its long-term trend, provides a superior natural starting point for setting the countercyclical capital buffer across jurisdictions. Using data from 1972 to 2011 for 27 countries, I find that, on average and for the vast majority of the countries studied, the credit-to-GDP gap is negatively correlated with the business cycle while the credit growth gap is positively correlated with the business cycle. I further demonstrate that the credit growth gap would have performed well in terms of guiding both the accu¬mulation and release of the countercyclical capital buffer during the recent global finan¬cial crisis. The credit growth gap thus emerges as a superior natural starting point for set¬ting the countercyclical capital buffer.