The procyclicality of Basel III leverage: Elasticity-based indicators and the Kalman filter
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More about this item
KeywordsBasel III; Banking stability; Macroprudential policy; Herding; Macroeconomic uncertainty.;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-25 (All new papers)
- NEP-BAN-2012-06-25 (Banking)
- NEP-BEC-2012-06-25 (Business Economics)
- NEP-CBA-2012-06-25 (Central Banking)
- NEP-MAC-2012-06-25 (Macroeconomics)
- NEP-RMG-2012-06-25 (Risk Management)
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