Bank Capital Requirements, Business Cycle Fluctuations and the Basel Accords: A Synthesis
Abstract
In order to survey the mechanisms through which the introduction of Basel II bank capital requirements is likely to accentuate the procyclical tendencies of banking, this paper brings together the theoretical literature on the bank capital channel of propagation of exogenous shocks and the literature on the regulatory framework of capital requirements under the Basel Accords. We conclude that, although the theoretical models that revisit the bank capital channel under the new Accord generally support the Basel II procyclicality hypothesis, this issue is still subject to some debate. In particular, the magnitude of the procyclical effects under Basel II should essentially depend on (i) the composition of banks' asset portfolios, (ii) the approach adopted by banks to compute their minimum capital requirements, (iii) the nature of the rating system used by banks, (iv) the view adopted concerning how credit risk evolves through time, (v) the capital buffers over the regulatory minimum held by the banking institutions, (vi) the improvements in credit risk management, and (vii) the supervisor and market intervention under Basel II.Download Info
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Paper provided by Universidade do Porto, Faculdade de Economia do Porto in its series FEP Working Papers with number 277.Length: 33 pages.
Date of creation: Jun 2008
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Handle: RePEc:por:fepwps:277
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Keywords: Bank Capital Channel; Basel Accords; Business Cycles; Procyclicality;Other versions of this item:
- Ines Drumond, 2009. "Bank Capital Requirements, Business Cycle Fluctuations And The Basel Accords: A Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 798-830, December.
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-06-13 (All new papers)
- NEP-BAN-2008-06-13 (Banking)
- NEP-CBA-2008-06-13 (Central Banking)
- NEP-MAC-2008-06-13 (Macroeconomics)
- NEP-REG-2008-06-13 (Regulation)
- NEP-RMG-2008-06-13 (Risk Management)
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
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