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Countercyclical banking capital bu ers in a DSGE model

Listed author(s):
  • Santiago Caicedo

    ()

  • Dairo Estrada

    ()

  • Mariana Laverde

    ()

In this document we develop a DSGE model to analyze the effect that a consumption boom and a productivity shock have over financial stability and macroeconomic variables, in both, an economy with and without Basel III capital requirements and earnings reinvestment rule. The results suggest that Basel III requirements have a positive impact over financial stability variables and that additional capital requirements do not restrict banking activity.

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File URL: http://www.banrep.gov.co/documentos/publicaciones/report_estab_finan/2012/ref_tema2_sep_2012.pdf
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Paper provided by Banco de la Republica de Colombia in its series Temas de Estabilidad Financiera with number 071.

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Handle: RePEc:bdr:temest:071
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  1. Gregory deWalque & Olivier Pierrard & Abdelaziz Rouabah, 2010. "Financial (In)Stability, Supervision and Liquidity Injections: A Dynamic General Equilibrium Approach," Economic Journal, Royal Economic Society, vol. 120(549), pages 1234-1261, December.
  2. O. Aspachs & C. Goodhart & M. Segoviano & D. Tsomocos & L. Zicchino, 2006. "Searching for a Metric for Financial Stability," OFRC Working Papers Series 2006fe09, Oxford Financial Research Centre.
  3. Kashyap, Anil K. & Rajan, Raghuram G. & Stein, Jeremy C., 2008. "Rethinking capital regulation," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 431-471.
  4. Miguel Morales & Dairo Estrada, 2010. "A financial stability index for Colombia," Annals of Finance, Springer, vol. 6(4), pages 555-581, October.
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