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Bâle III et la régulation macro-prudentielle : une analyse contrefactuelle de l’activation du coussin contra-cyclique

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  • Abdallah Mohamed Abass
  • Adrian Pop

Abstract

We propose a critical assessment of the Basel Committee?s macro-prudential proposal to mitigate the pro-cyclicality of risk-sensitive capital regulations. We compare first the credittoGDP gap and other macroeconomic and financial variables in their ability to predict banking sector vulnerabilities. Then, based on a counterfactual empirical implementation, we test a statistical procedure aiming at identifying a set of triggers for countercyclical capital buffers. We test our proposal using data characterizing the South Africa banking sector. JEL Codes: G21; G28

Suggested Citation

  • Abdallah Mohamed Abass & Adrian Pop, 2023. "Bâle III et la régulation macro-prudentielle : une analyse contrefactuelle de l’activation du coussin contra-cyclique," Revue d'économie politique, Dalloz, vol. 133(4), pages 601-644.
  • Handle: RePEc:cai:repdal:redp_334_0601
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    JEL classification:

    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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