Procyclicality in Basel II: Can we treat the disease without killing the patient?

By Michael B. Gordy, Bradley Howells. 2006

435 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/53b9c75887e295c91ad1eba0480795be29e9386d

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Citations in the corpus

Credit Cycles, Credit Risk, and Prudential Regulation (2006, background): “Kindleberger (1978) contains the idea of fading bad experiences among economic agents.”
Systemic Risk-Taking: Amplification Effects, Externalities, and Regulatory Responses (2011, positive): “This leads them to take on a socially excessive level of systemic 1See for example Bernanke and Gertler (1989); Kiyotaki and Moore (1997); Bernanke et al. (1999). risk in their financing and investment decisions.”
Towards an operational framework for financial stability : "fuzzy" measurement and its consequences (2009, neutral): “There are various ways in which this can de done (eg, Gordy and Howells (2006)).”
Policies for Macrofinancial Stability: Options to Deal with Real Estate Booms (2011, background): “Further, by forcing banks to hold more capital in good times, it would help build buffers for future losses (see Gordy and Howells, 2006, and references therein).10 For real estate loans, the procyclical element of capital regulation is largely absent.”
Financial Development in Latin America and the Caribbean : The Road Ahead [El desarrollo financiero en América Latina y el Caribe : el camino por delante] (2011, background): “See Ashcraft and Schuermann (2008) and Gorton and Metrick (2010). 25. See Shleifer and Vishny (2011). 26. The importance of mood swings for fi nancial bubbles and panics fi nds its roots in Keynes’s animal spirits and Hyman Minsky’s writings on fi nancial crises (see Minsky 1975). More recently, it ”
What Can (Macro-) Prudential Policy do to Support Monetary Policy? (2007, neutral): “…on given (fixed) portfolios pointed to an additional procyclicality of the order of up to 30% of the minimum requirement, especially in the case of the use of internal ratings (eg, Segoviano and Lowe (2002), Catarineu-Rabell et al (2003), Kashyap and Stein (2004), Gordy and Howells (2004)).”
The Countercyclical Capital Buffer of Basel III: A Critical Assessment (2011, positive): “According to Gordy and Howells (2006) there are two basic alternatives: One can either smooth the input of the Basel III formulas, by using some sort of through-the-cycle adjustment of the PDs, or smooth the 9 This is a comprehensive…”
Pro-Cyclical Capital Regulation and Lending (2016, background): “…the pro-cyclicality of regulation used simulation models5 or analyzed the effects of business cycles on aggregate buffers.6 Our findings confirm the warnings regarding Basel II capital regulation by policy analysts such as Borio et al. (2001), Goodhart et al. (2004), and Gordy and Howells (2006).”
Macroeconomic Propagation Under Different Regulatory Regimes: Evidence From an Estimated DSGE Model For the Euro Area (2010, neutral): “27See, e.g., Gordy and Howells (2006), Zhu (2008), Boissay and Kok Sørensen (2009), and Jokivuolle, Kiema, and Vesala (2009).”
Monetary and Prudential Policies at a Crossroads? New Challenges in the New Century (2006, background): “…The literature on this has been growing exponentially; see eg Borio and Crockett (2000), Borio et al (2001), Danielsson et al (2001), ECB (2001), Gordy and Howells (2004), Catarineu-Rebell et al (2003), Segoviano and Lowe (2002), Kashyap and Stein (2004), Ayuso et al (2004) and Taylor and…”
Central banks and financial crises (2008, background): “The procyclicality of the Basel requirements (and especially of Basel II) (which began to be introduced just around the time the crisis erupted) had, of course, been noted before (see e.g. Borio, Furfine and Lowe (2001), Goodhart (2004), Kashyap and Stein (2004) and Gordy and Howells (2004)).”