Excessive Credit Growth and Countercyclical Capital Buffers in Basel III: An Empirical Evidence from Central and East European Countries
AbstractExcessive credit growth is often considered to be an indicator of future problems in the financial sector. This paper examines the issue of how best 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.
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Bibliographic InfoArticle provided by University of Finance and Administration in its journal ACTA VSFS.
Volume (Year): 6 (2012)
Issue (Month): 2 ()
credit growth; financial crisis; countercyclical capital buffer; Basel III;
Other versions of this item:
- Seidler, Jakub & Gersl, Adam, 2012. "Excessive credit growth and countercyclical capital buffers in basel III: an empirical evidence from central and east european countries," MPRA Paper 42541, University Library of Munich, Germany.
- G01 - Financial Economics - - General - - - Financial Crises
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
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