IDEAS home Printed from https://ideas.repec.org/a/oup/ecpoli/v31y2016i86p357-403..html
   My bibliography  Save this article

Are bank capital ratios pro-cyclical? New evidence and perspectives

Author

Listed:
  • Michael Brei
  • Leonardo Gambacorta

Abstract

This paper analyses how the new Basel III leverage ratio and risk-weighted regulatory capital ratio behave over the cycle. The analysis proposes a set-up to test for the cyclical properties of bank capital ratios, taking into account structural shifts in banks’ behaviour during the global financial crisis and its aftermath. Using a large data set covering international banks headquartered in 14 advanced economies for the period 1994–2012, we find that the Basel III leverage ratio is significantly more countercyclical than the risk-weighted regulatory capital ratio: it is a tighter constraint for banks in booms and a looser constraint in recessions.

Suggested Citation

  • Michael Brei & Leonardo Gambacorta, 2016. "Are bank capital ratios pro-cyclical? New evidence and perspectives," Economic Policy, CEPR;CES;MSH, vol. 31(86), pages 357-403.
  • Handle: RePEc:oup:ecpoli:v:31:y:2016:i:86:p:357-403.
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1093/epolic/eiw001
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:ecpoli:v:31:y:2016:i:86:p:357-403.. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) The email address of this maintainer does not seem to be valid anymore. Please ask Oxford University Press to update the entry or send us the correct email address or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/cebruuk.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.