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Requerimiento de capital contra-cíclico. El caso uruguayo

Author

Listed:
  • Cecilia Dassatti

    (Banco Central del Uruguay)

  • Alejandro Pena

    (Banco Central del Uruguay)

  • Jorge Ponce

    (Banco Central del Uruguay)

  • Magdalena Tubio

    (Banco Central del Uruguay)

Abstract

We study the counter-cyclical capital buffer introduced by Basel III and its complementarities with other regulation, particularly dynamic provisioning. We simulate different activation, adjust and deactivation rules for the buffer using historical data for Uruguay. The design and introduction of a counter-cyclical capital buffer following the principles in Basel III should complement actual regulation and serve as an extra tool to mitigate systemic risk in the Uruguayan banking sector.

Suggested Citation

  • Cecilia Dassatti & Alejandro Pena & Jorge Ponce & Magdalena Tubio, 2014. "Requerimiento de capital contra-cíclico. El caso uruguayo," Documentos de trabajo 2014008, Banco Central del Uruguay.
    • Handle: RePEc:bku:doctra:2014008
    as

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    File URL: https://www.bcu.gub.uy/Estadisticas-e-Indicadores/Documentos%20de%20Trabajo/8.2014.pdf
    File Function: First version, 2014
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    References listed on IDEAS

    as
    1. Repullo, Rafael, 2013. "Cyclical adjustment of capital requirements: A simple framework," Journal of Financial Intermediation, Elsevier, vol. 22(4), pages 608-626.
    2. Drehmann, Mathias & Juselius, Mikael, 2014. "Evaluating early warning indicators of banking crises: Satisfying policy requirements," International Journal of Forecasting, Elsevier, vol. 30(3), pages 759-780.
    3. Kevin Moran & Cesaire A. Meh & Ian Christensen, 2010. "Bank Leverage Regulation and Macroeconomic Dynamics," 2010 Meeting Papers 757, Society for Economic Dynamics.
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    5. Mr. Selim A Elekdag & Mr. Yiqun Wu, 2011. "Rapid Credit Growth: Boon or Boom-Bust?," IMF Working Papers 2011/241, International Monetary Fund.
    6. Mathias Drehmann & Kostas Tsatsaronis, 2014. "The credit-to-GDP gap and countercyclical capital buffers: questions and answers," BIS Quarterly Review, Bank for International Settlements, March.
    Full references (including those not matched with items on IDEAS)

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    JEL classification:

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

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