Credit Growth and Capital Buffers: Empirical Evidence from Central and Eastern 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 to determine whether the observed level of private sector credit is excessive in the context of the â€œcountercyclical capital bufferâ€, 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 InfoPaper provided by Czech National Bank, Research Department in its series Research and Policy Notes with number 2011/02.
Date of creation: Nov 2011
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Basel regulation; credit growth; financial crisis countercyclical buffer.;
Find related papers by JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-19 (All new papers)
- NEP-BAN-2011-12-19 (Banking)
- NEP-FDG-2011-12-19 (Financial Development & Growth)
- NEP-REG-2011-12-19 (Regulation)
- NEP-RMG-2011-12-19 (Risk Management)
- NEP-TRA-2011-12-19 (Transition Economics)
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