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Citations for "Procyclicality in Basel II: Can we treat the disease without killing the patient?"

by Gordy, Michael B. & Howells, Bradley

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  1. Athanasoglou, Panayiotis & Ioannis, Daniilidis & Manthos, Delis, 2013. "Bank procyclicality and output: Issues and policies," MPRA Paper 50830, University Library of Munich, Germany.
  2. Xing, Haipeng & Sun, Ning & Chen, Ying, 2012. "Credit rating dynamics in the presence of unknown structural breaks," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 78-89.
  3. Crowe, Christopher & Dell’Ariccia, Giovanni & Igan, Deniz & Rabanal, Pau, 2013. "How to deal with real estate booms: Lessons from country experiences," Journal of Financial Stability, Elsevier, vol. 9(3), pages 300-319.
  4. Alex Ferrer & José Casals & Sonia Sotoca, 2014. "Conditional coverage and its role in determining and assessing long-term capital requirements," Documentos de Trabajo del ICAE 2014-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  5. Zhuang Cai & Peter Wheale, 2009. "Managing Efficient Capital Allocation with Emphasis on the Chinese Experience," Journal of Business Ethics, Springer, vol. 87(1), pages 111-135, April.
  6. Lützenkirchen, Kristina & Rösch, Daniel & Scheule, Harald, 2013. "Ratings based capital adequacy for securitizations," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5236-5247.
  7. Kauko, Karlo, 2010. "The feasibility of through-the-cycle ratings," Research Discussion Papers 14/2010, Bank of Finland.
  8. Yanan Zhang & Lu Ji & Fei Liu, 2010. "Local Housing Market Cycle and Loss Given Default," IMF Working Papers 10/167, International Monetary Fund.
  9. Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2011. "Anchoring countercyclical capital buffers: the role of credit aggregates," BIS Working Papers 355, Bank for International Settlements.
  10. Dobromił Serwa, 2013. "Measuring Non-Performing Loans During (and After) Credit Booms," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 5(3), pages 163-183, September.
  11. Christoph Basten & Catherine Koch, 2014. "Higher bank capital requirements and mortgage pricing: evidence from the Counter-Cyclical Capital Buffer," ECON - Working Papers, Department of Economics - University of Zurich 169, Department of Economics - University of Zurich.
  12. Rodríguez Dupuy, Analía, 2007. "Loan portfolio loss distribution: Basel II unifactorial approach vs. Non parametric estimations," MPRA Paper 10697, University Library of Munich, Germany.
  13. Rafael Repullo, 2012. "Cyclical Adjustment Of Capital Requirements A Simple Framework," Working Papers, CEMFI wp2012_1205, CEMFI.
  14. Chiara Pederzoli & Costanza Torricelli, 2008. "Rating systems, procyclicalilty and Basel II: an evaluation in a general equilibrium framework," Economics Series Working Papers 2008fe27, University of Oxford, Department of Economics.
  15. repec:ecu:wpaper:2010-02 is not listed on IDEAS
  16. Pau Rabanal & Christopher W. Crowe & Giovanni Dell'Ariccia & Deniz Igan, 2011. "How to Deal with Real Estate Booms," IMF Working Papers 11/91, International Monetary Fund.
  17. Ethan Cohen-Cole & Enrique Martinez-Garcia, 2009. "The Balance Sheet Channel," Working Papers Central Bank of Chile, Central Bank of Chile 537, Central Bank of Chile.
  18. Jiménez, Gabriel & Mencía, Javier, 2009. "Modelling the distribution of credit losses with observable and latent factors," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(2), pages 235-253, March.
  19. Jukka Vauhkonen, 2012. "The Impact of Pillar 3 Disclosure Requirements on Bank Safety," Journal of Financial Services Research, Springer, vol. 41(1), pages 37-49, April.
  20. Claudio Borio & Mathias Drehmann, 2011. "Toward an Operational Framework for Financial Stability: “Fuzzy” Measurement and Its Consequences," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.), Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 4, pages 063-123 Central Bank of Chile.
  21. Holopainen, Helena, 2007. "Integration of financial supervision," Research Discussion Papers 12/2007, Bank of Finland.
  22. Rafael Repullo & Jesús Saurina & Carlos Trucharte, 2009. "Mitigating The Procyclicality Of Basel Ii," Working Papers, CEMFI wp2009_0903, CEMFI.
  23. Repullo, Rafael & Suarez, Javier, 2008. "The Procyclical Effects of Basel II," CEPR Discussion Papers 6862, C.E.P.R. Discussion Papers.
  24. Varotto, Simone, 2012. "Stress testing credit risk: The Great Depression scenario," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3133-3149.
  25. Sreejata Banerjee, 2012. "Basel I and Basel II Compliance: Issues for Banks in India," Working Papers 2012-068, Madras School of Economics,Chennai,India.
  26. Chiara Pederzoli, 2007. "Default risk: Poisson mixture and the business cycle," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi" 07052, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  27. Ana Clara Bueno Teixeira Feitosa Noronha & Daniel Oliveira Cajueiro & Benjamin Miranda Tabak, 2011. "Bank Capital Buffers, Lending Growth Andeconomic Cycle: Empirical Evidence For Brazil," Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of 035, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  28. Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
    • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
  29. Simone Varotto, 2007. "Tests on the Accuracy of Basel II," ICMA Centre Discussion Papers in Finance icma-dp2007-09, Henley Business School, Reading University.
  30. Kilponen , Juha & Milne, Alistair, 2007. "The lending channel under optimal choice of monetary policy," Research Discussion Papers 33/2007, Bank of Finland.
  31. Borio, Claudio & Zhu, Haibin, 2012. "Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?," Journal of Financial Stability, Elsevier, vol. 8(4), pages 236-251.
  32. Jose Fique & Frank Page, 2013. "Rollover risk and endogenous network dynamics," Computational Management Science, Springer, vol. 10(2), pages 213-230, June.
  33. Kim, Teakdong & Koo, Bonwoo & Park, Minsoo, 2013. "Role of financial regulation and innovation in the financial crisis," Journal of Financial Stability, Elsevier, vol. 9(4), pages 662-672.
  34. Inês Drumond, 2008. "Bank Capital Requirements, Business Cycle Fluctuations and the Basel Accords: A Synthesis," FEP Working Papers 277, Universidade do Porto, Faculdade de Economia do Porto.
  35. repec:onb:oenbwp:y::i:155:b:1 is not listed on IDEAS
  36. Agenor, Pierre-Richard & Pereira da Silva, Luiz A., 2009. "Cyclical effects of bank capital requirements with imperfect credit markets," Policy Research Working Paper Series 5067, The World Bank.
  37. Lóránth, Gyöngyi & Morrison, Alan, 2009. "Internal Reporting Systems, Compensation Contracts and Bank Regulation," CEPR Discussion Papers 7179, C.E.P.R. Discussion Papers.
  38. Hans Gersbach & Volker Hahn, 2009. "Banking-on-the-Average Rules," CER-ETH Economics working paper series 09/107, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
  39. Piotr Staszkiewicz, 2013. "Czy Bazylea zmieniła kapitały?," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 30, pages 107-120.
  40. Diemo Dietrich & Uwe Vollmer, 2004. "Why do banks hold capital in excess of regulatory requirements? A functional approach," IWH Discussion Papers, Halle Institute for Economic Research 192, Halle Institute for Economic Research.
  41. Jokivuolle , Esa & Peura , Samu, 2006. "Rating targeting and the confidence levels implicit in bank capital," Research Discussion Papers 27/2006, Bank of Finland.
  42. Ludwig, Björn, 2011. "Warum der Baseler Ausschluss für Bankenaufsicht mit seinem antizyklischen Kapitalpuffer falsch liegt," CIW Discussion Papers 7/2011, University of Münster, Center for Interdisciplinary Economics (CIW).
  43. Lea Zicchino, 2005. "A model of bank capital, lending and the macro economy: Basel I versus Basel II," Money Macro and Finance (MMF) Research Group Conference 2005 88, Money Macro and Finance Research Group.
  44. Giuseppe Marotta & Chiara Pederzoli & Costanza Torricelli, 2005. "Forward-looking estimation of default probabilities with Italian data," Heterogeneity and monetary policy 0504, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica.
  45. David VanHoose, 2008. "Bank Capital Regulation, Economic Stability, and Monetary Policy: What Does the Academic Literature Tell Us?," Atlantic Economic Journal, International Atlantic Economic Society, vol. 36(1), pages 1-14, March.
  46. Délio José Cordeiro Galvão & Helder Ferreira De Mendonça & Renato Falci Villela Loures, 2011. "Economic Activity And Financialinstitutional Risk: An Empirical Analysis For The Banking Industry," Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of 088, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  47. Cohen-Cole, Ethan & Morse, Jonathan, 2010. "Monetary policy and capital regulation in the US and Europe," Working Paper Series 1222, European Central Bank.
  48. Haibin Zhu, 2008. "Capital Regulation and Banks' Financial Decisions," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 4(1), pages 165-211, March.
  49. Martin Mandel & Vladimír Tomšík, 2011. "Regulation of the Banking Sector From the Economic Theory´s Point of View," Politická ekonomie, University of Economics, Prague, University of Economics, Prague, vol. 2011(1), pages 58-81.
  50. Jesus, Saurina & Gabriel, Jimenez, 2006. "Credit Cycles, Credit Risk, and Prudential Regulation," MPRA Paper 718, University Library of Munich, Germany.
  51. Loranth, Gyongyi & Morrison, Alan, 2009. "Internal Reporting Systems, Compensation Contracts, and Bank Regulation," CEPR Discussion Papers 7155, C.E.P.R. Discussion Papers.
  52. Arndt Claußen & Sebastian Löhr & Daniel Rösch, 2014. "An analytical approach for systematic risk sensitivity of structured finance products," Review of Derivatives Research, Springer, vol. 17(1), pages 1-37, April.
  53. Jokivuolle, Esa & Kiema, Ilkka & Vesala, Timo, 2010. "Credit allocation, capital requirements and output," Research Discussion Papers 17/2010, Bank of Finland.
  54. Gabriel Jiménez & Jesús Saurina, 2006. "Credit Cycles, Credit Risk, and Prudential Regulation," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 2(2), May.
  55. Staszkiewicz, Piotr W., 2013. "Mechanizm wczesnego ostrzegania firm inwestycyjnych
    [Early warning mechanism of bankruptcy for investment companies]
    ," MPRA Paper 44290, University Library of Munich, Germany.
  56. Anton Korinek, 2009. "Systemic Risk: Amplification Effects, Externalities, and Policy Responses," Working Papers 155, Oesterreichische Nationalbank (Austrian Central Bank).
  57. Mario Tonveronachi, 2009. "Implications of Basel II for financial stability. Clouds are darker for developing countries," PSL Quarterly Review, Economia civile, Economia civile, vol. 62(248-251), pages 117-142.
  58. Anton Korinek, 2011. "Systemic Risk-Taking: Amplification Effects, Externalities, and Regulatory Responses," NFI Working Papers 2011-WP-13, Indiana State University, Scott College of Business, Networks Financial Institute.
  59. Gabriel Jiménez & Javier Mencía, 2007. "Modeling the distribution of credit losses with observable and latent factors," Banco de Espa�a Working Papers 0709, Banco de Espa�a.
  60. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Feb 2014.
  61. Panayiotis P. Athanasoglou & Ioannis Daniilidis, 2011. "Procyclicality in the banking industry: causes, consequences and response," Working Papers 139, Bank of Greece.
  62. Markus Behn & Rainer Haselmann & Paul Wachtel, 2013. "Pro-Cyclical Capital Regulation and Lending," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 13-11, New York University, Leonard N. Stern School of Business, Department of Economics.
  63. Jonathan Crook & Tony Bellotti, 2010. "Time varying and dynamic models for default risk in consumer loans," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 173(2), pages 283-305.
  64. Jokivuolle , Esa & Vesala, Timo, 2007. "Portfolio effects and efficiency of lending under Basel II," Research Discussion Papers 13/2007, Bank of Finland.
  65. Jesús Saurina & Carlos Trucharte, 2007. "An assessment of Basel II procyclicality in mortgage portfolios," Banco de Espa�a Working Papers 0712, Banco de Espa�a.
  66. David E Allen & Akhmad R. Kramadibrata & R. J. Powell & Abhay Kumar Singh, 2011. "A Quantile Analysis of Default Risk for Speculative and Emerging Companies," Working papers, Edith Cowan University, School of Business 2011-05, Edith Cowan University, School of Business.
  67. Ruthenberg, David & Landskroner, Yoram, 2008. "Loan pricing under Basel II in an imperfectly competitive banking market," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2725-2733, December.
  68. Alex Ferrer & José Casals & Sonia Sotoca, 2014. "A new approach to the unconditional measurement of default risk," Documentos de Trabajo del ICAE 2014-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  69. Ren, Haocong, 2011. "Countercyclical financial regulation," Policy Research Working Paper Series 5823, The World Bank.
  70. Rodriguez, Analía, 2007. "Distribución de pérdidas de la cartera de créditos: el método unifactorial de Basilea II vs. estimaciones no paramétricas," MPRA Paper 12637, University Library of Munich, Germany.
  71. Francis, William B. & Osborne, Matthew, 2012. "Capital requirements and bank behavior in the UK: Are there lessons for international capital standards?," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 803-816.
  72. Bojan Markovic, 2006. "Bank capital channels in the monetary transmission mechanism," Bank of England working papers 313, Bank of England.