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Optimal banks behaviour and procyclicality

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  • Chiara Pederzoli

    ()
    (Department of Quantitative Methods, University of Milano Bicocca, Italy)

  • Costanza Torricelli

    (Department of Economics, University of Modena and Reggio Emilia, Italy)

Abstract

A relevant issue in the procyclicality debate over Basel II is the type of rating which could be preferred from both an individual and an economy-wide point of view in the light of the relation between capital requirements and the business cycle. The objective of the present paper is to evaluate the profitability of different rating systems within a general equilibrium approach in the presence of capital requirements consistent with Basel II. To this end, we model the optimizing behaviour of three sectors: households, corporates and banking sector and we analyse banks optimal behaviour and its effects on the economy as a whole.

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Bibliographic Info

Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 349.

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Date of creation: 04 Jul 2006
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Handle: RePEc:sce:scecfa:349

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Keywords: Banks; Capital Requirements; Equilibrium analysis; Rating systems; Procyclicality;

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