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An Assessment of Basel II Procyclicality in Mortgage Portfolios

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Author Info
Jesús Saurina ()
Carlos Trucharte ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s10693-007-0008-1
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Publisher Info
Article provided by Springer in its journal Journal of Financial Services Research.

Volume (Year): 32 (2007)
Issue (Month): 1 (October)
Pages: 81-101
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Handle: RePEc:kap:jfsres:v:32:y:2007:i:1:p:81-101

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Web page: http://www.springerlink.com/link.asp?id=102934

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Related research
Keywords: Procyclicality; Basel II; rating systems; mortgages; E32; G18; G21;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Ehrmann, M. & Gambacorta, L. & Martínez-Pagés, J. & Sevestre, P. & Worms, A., 2002. "Financial Systems and the Role of Banks in Monetary Policy Transmission in the Euro Area," Documents de Travail 93, Banque de France. [Downloadable!]
    Other versions:
  2. Charles Goodhart, 2004. "Bank Regulation and Macroeconomic Fluctuations," Oxford Review of Economic Policy, Oxford University Press, vol. 20(4), pages 591-615, Winter.
  3. Jimenez, Gabriel & Salas, Vicente & Saurina, Jesus, 2006. "Determinants of collateral," Journal of Financial Economics, Elsevier, vol. 81(2), pages 255-281, August. [Downloadable!] (restricted)
  4. Amato, Jeffery D. & Furfine, Craig H., 2004. "Are credit ratings procyclical?," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2641-2677, November. [Downloadable!] (restricted)
  5. Calem, Paul S. & LaCour-Little, Michael, 2004. "Risk-based capital requirements for mortgage loans," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 647-672, March. [Downloadable!] (restricted)
  6. Anil Kashyap & Jeremy C. Stein, 2004. "Cyclical implications of the Basel II capital standards," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 18-31. [Downloadable!]
  7. Ben S. Bernanke & Cara S. Lown, 1991. "The Credit Crunch," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 22(1991-2), pages 205-248. [Downloadable!]
  8. Peek, Joe & Rosengren, Eric, 1995. "The Capital Crunch: Neither a Borrower nor a Lender Be," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(3), pages 625-38, August. [Downloadable!] (restricted)
    Other versions:
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Repullo, Rafael & Suarez, Javier, 2008. "The Procyclical Effects of Basel II," CEPR Discussion Papers 6862, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  2. Bertrand Gruss & Silvia Sgherri, 2009. "The Volatility Costs of Procyclical Lending Standards: An Assessment Using a DSGE Model," Economics Working Papers ECO2009/07, European University Institute. [Downloadable!]
    Other versions:
  3. William Francis & Matthew Osborne, 2009. "On the Behaviour and Determinants of Risk-Based Capital Ratios: Revisiting the Evidence from UK Banking Institutions," Occasional Papers 31, Financial Services Authority. [Downloadable!]
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This page was last updated on 2009-11-12.

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