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 II 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 University Library of Munich, Germany in its series MPRA Paper with number 42541.
Date of creation: 2012
Date of revision:
Publication status: Published in ACTA VSFS 2.6(2012): pp. 91
credit growth; financial crisis; countercyclical capital buffer; Basel II;
Other versions of this item:
- Adam Gersl & Jakub Seidler, 2012. "Excessive Credit Growth and Countercyclical Capital Buffers in Basel III: An Empirical Evidence from Central and East European Countries," ACTA VSFS, University of Finance and Administration, University of Finance and Administration, vol. 6(2), pages 91-107.
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G01 - Financial Economics - - General - - - Financial Crises
- 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-ACC-2012-11-24 (Accounting & Auditing)
- NEP-ALL-2012-11-24 (All new papers)
- NEP-BAN-2012-11-24 (Banking)
- NEP-CBA-2012-11-24 (Central Banking)
- NEP-EEC-2012-11-24 (European Economics)
- NEP-FDG-2012-11-24 (Financial Development & Growth)
- NEP-FMK-2012-11-24 (Financial Markets)
- NEP-RMG-2012-11-24 (Risk Management)
- NEP-TRA-2012-11-24 (Transition Economics)
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