Countercyclical Capital Buffers: Exploring Options

By Mathias Drehmann, C. Borio, L. Gambacorta, Gabriel Jiménez, Carlos Trucharte. 2010

352 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8a5c11f8fce7ac8f0f37bd2de517ef64f1a9f909

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. C. Borio
2. L. Gambacorta
3. Mathias Drehmann
4. Olivier De Jonghe
5. C. Detken
6. Kostas Tsatsaronis
7. Jesús Saurina Salas
8. Steven R. G. Ongena

In Finance

1. Mathias Drehmann
2. C. Borio
3. L. Gambacorta
4. Kostas Tsatsaronis
5. Olivier De Jonghe
6. C. Detken
7. Steven R. G. Ongena
8. Miguel Boucinha

Citations in the corpus

• Mapping capital and liquidity requirements to bank lending spreads (2010, neutral): “The lending spread for the US is taken from Drehmann et al. (2010) and for the Euro area is based on Calza et al. (2006).”
• 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;…”
• Bank capital (requirements) and credit supply: Evidence from pillar 2 decisions (2016, methodology): “(13)To be precise, Edgerton (2012) use county times size times industry fixed effects when analyzing the impact of funding shocks on firm investments, while Morais et al. (2015) use industry times state fixed effects when analyzing the international monetary policy pass-through in Mexico.”
• The effects of countercyclical capital buffers on bank lending (2012, background): “…10.1080/13504851.2011.591720 603 This common reference guide is based on research showing that deviations of the (private sector) creditto-GDP ratio from its long-term trend (in short the ‘credit gap’) are very good indicators of the increase in systemic risk (Drehmann et al., 2010).”
• The Countercyclical Capital Buffer of Basel III: A Critical Assessment (2011, background): “The rationale for this specification of the buffer as well as for the choice of the credit-toGDP gap as the “common reference point” for taking buffer decisions is found in Drehmann et al. (2010): “The analysis shows that the best variables which could be used as signals for the pace and size of the”
• Implementing a Macroprudential Framework: Blending Boldness and Realism (2011, neutral): “Consider, for instance, the design of simple countercyclical capital buffers (Drehmann et al (2010), BCBS (2010)).”
• The Bank Lending Channel: Lessons from the Crisis (2011, neutral): “The proposed creation of a counter-cyclical capital buffer of additional core capital that can be used to absorb losses during periods of stress seems also very much in accordance with our results (Drehmann et al., 2010).”
• How Do Credit Supply Shocks Propagate Internationally? A Gvar Approach (2015, background): “…global crisis (see e.g. Imbs (2010), Cetorelli and Goldberg (2011), Committee on the Global Financial System (2011)), which among other things has provoked wide-ranging reforms to the regulation of credit markets (see e.g. Drehmann et al. (2010), Basel Committee on Banking Supervision (2010)).”
• The Financial Cycle and Macroeconomics: What Have We Learnt? (2014, neutral): “Basel III, for instance, has put in place a countercyclical capital buffer (BCBS (2010a), Drehmann et al (2010, 2011)).”
• Anchoring Countercyclical Capital Buffers: The Role of Credit Aggregates (2011, background): “Because of idiosyncratic factors, these tend to fluctuate widely from one year to the next, so that buffers would be built up and released in short succession (Drehmann et al. 2010).”
• Diagnosing the Financial System: Financial Conditions and Financial Stress (2012, methodology): “For comparison, consider the sub-index constructed from the two leverage indicators in the NFCI that most closely resemble the inputs to the private credit-to-GDP ratio of Drehmann et al. (2010), referenced as HH and NFB Leverage in the top panel of figure 8 and Non-Financial Leverage in table 4. Th”