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Warum der Baseler Ausschluss für Bankenaufsicht mit seinem antizyklischen Kapitalpuffer falsch liegt

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  • Ludwig, Björn
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    Abstract

    Das Basel III Rahmenwerk führt einen antizyklischen Kapitalpuffer, um das durch die Krise eindrucksvoll bestätigte Problem der Prozyklizität der Eigenkapitalanforderungen zu lösen. Das Entscheidungskriterium zu Abgrenzung der konjunkturell guten Phase von der schlechten Phase, das den Kapitalaufbau beziehungsweise Kapitalabbau begründen soll, basiert auf dem Verhältnis vom nominellen Kreditvolumen zum nominalen BIP. Anstelle das Problem der Prozyklizität zu lösen, wird der in dieser Form von der Bankenaufsicht konzipierte antizyklische Kapitalpuffer bei einer regelgebundenen Anwendung das Problem eher verschärfen, denn in konjunkturell schlechten Zeiten mit niedrigem BIP Wachstum signalisiert der Indikator die Erhebung des zusätzlichen Kapitalpuffers und in konjunkturell guten Zeiten mit einem hohen BIP Wachstum nicht. Anstelle dieser Konzeption sollte besser das Kreditwachstum und der Kreditimpuls als Entscheidungskriterium verwendet werden, da bei diesen Größen ein hinreichend guter Zusammenhang zum Wachstum des realen BIP besteht. -- The Basel III Framework introduces a countercyclical capital buffer to reduce the procyclical-ity of the minimum capital requirements. The reference point for the decision to impose the buffer is based on the credit-to-GDP ratio. However, this guidance will exacerbate the prob-lem of procyclicality in a rule based application, because in periods with a low GDP growth it sends a signal to increase the capital requirements and in periods with a high GDP growth it sends a signal to reduce the capital requirements. Instead of the credit-to-GDP ratio the credit growth and the credit impulse should be used as reference point, because these variables are high correlated with the real GDP growth.

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    Bibliographic Info

    Paper provided by University of Münster, Center for Interdisciplinary Economics (CIW) in its series CIW Discussion Papers with number 7/2011.

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    Date of creation: 2011
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    Handle: RePEc:zbw:ciwdps:72011

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    1. Mathias Drehmann & Claudio Borio & Leonardo Gambacorta & Gabriel Jiminez & Carlos Trucharte, 2010. "Countercyclical capital buffers: exploring options," BIS Working Papers 317, Bank for International Settlements.
    2. Rafael Repullo & Jesús Saurina, 2011. "The Countercyclical Capital Buffer Of Basel Iii: A Critical Assessment," Working Papers wp2011_1102, CEMFI.
    3. Gordy, Michael B. & Howells, Bradley, 2006. "Procyclicality in Basel II: Can we treat the disease without killing the patient?," Journal of Financial Intermediation, Elsevier, vol. 15(3), pages 395-417, July.
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