Anchoring Countercyclical Capital Buffers: The Role of Credit Aggregates

By Mathias Drehmann, C. Borio, Kostas Tsatsaronis. 2011

411 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6317b6b04cc62e761860202f7e6cd200ba77a70b

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Citations in the corpus

The Financial Cycle and Macroeconomics: What Have We Learnt? (2014, unknown): “Basel III, for instance, has put in place a countercyclical capital buffer (BCBS (2010a), Drehmann et al (2010, 2011)).”
Stress-Testing Macro Stress Testing: Does it Live Up to Expectations? (2012, unknown): “Confirming this picture, recent work suggests that crises tend to begin at the peak of the medium-term financial cycle, not during the depth of the bust (Drehmann et al (2011b)).”
Labour Reallocation and Productivity Dynamics: Financial Causes, Real Consequences (2016, unknown): “After all, financial booms and busts linked to crises have had a length of between 16 and 20 years (eg Drehmann et al (2011)), and our results confirm that misallocations take time to develop and have very long-lasting effects.”
Learning from History: Volatility and Financial Crises (2016, background): “Indeed, Drehmann et al. (2010, 2011) show that it outperforms other early warning indicators such as GDP, credit growth, and their ratios, as well as other banking sector performance measures.”
Operationalising the Countercyclical Capital Buffer: Indicator Selection, Threshold Identification and Calibration Options (2014, methodology): “…the credit-to-GDP-gap, for instance those based on its average performance for a group of countries (Borio and Lowe, 2002; Borio and Drehmann 2009; Drehmann et al., 2010, 2011; and Alessi and Detken, 2011) and those based on its performance in individual EEA countries (Denmark: Harmsen, 2010;…”
Monetary Policy and Financial Stability: What Role in Prevention and Recovery? (2014, unknown): “Even credit alone has been found to provide a reasonably good leading indicator (eg, Jordá et al (2011), Drehmann et al (2011)).”
Financial Stability and Financial Inclusion (2014, background): “, Drehmann et al [2011]; Gourinchas and Obstfeld [2012]; Drehmann and Juselius [2013]), we also find in three (columns [1]–[3]) of our four regressions that higher private sector credit relative to GDP (cgdpi,t) leads to a higher likelihood of financial instability. Following on from Han and Melecky”
Necessity As the Mother of Invention: Monetary Policy after the Crisis (2017, background): “Drehmann et al. 2011). Also some research outside the BIS suggests that credit is a reasonably good leading indicator. For instance, Jorda et al. (2011), who examine the behaviour of the ratio between bank credit and GDP during 200 recessions and the preceding expansions in 14 advanced economies goi”
Do Debt Service Costs Affect Macroeconomic and Financial Stability (2012, background): “In the large scale study by Drehmann et al (2011), the runners-up to the credit-to-GDP gap in terms of predictive performance had corresponding noise-to-signal ratios of about 30–40%.”
Monetary Policy, the Financial Cycle and Ultralow Interest Rates (2016, background): “This is important, since the credit-to-GDP ratio plays a key role in leading indicators of financial distress but has exhibited a clear upward trend (eg Borio and Lowe (2002), Drehmann et al (2011), BCBS (2010)).”
Monetary Policy, Financial Conditions, and Financial Stability (2014, background): “…of banking crises, and the cumulative growth as reflected in the credit-to-GDP gap for the private non-financial sector is viewed as a high-quality (high signal-to-noise) indicator for the likelihood of financial instability (see Borio and Lowe 2002, Borio, Drehmann, and Tsatsaronis 2011).”