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  • 标题:Anchoring Countercyclical Capital Buffers: The Role of Credit Aggregatres
  • 本地全文:下载
  • 作者:Mathias Drehmann ; Claudio Borio ; Kostas Tsatsaronis
  • 期刊名称:International Journal of Central Banking
  • 印刷版ISSN:1815-4654
  • 出版年度:2011
  • 卷号:2011
  • 期号:04
  • 出版社:IJCB Publications Fulfillment
  • 摘要:We investigate the performance of different variables as anchors for setting the level of the countercyclical regulatory capital buffer requirements for banks. The gap between the ratio of credit to GDP and its long-term backward-looking trend performs best as an indicator for the accumulation of capital, because this variable captures the build-up of systemwide vulnerabilities that typically lead to banking crises. Other indicators, such as credit spreads, are better at indicating the release phase, as they are contemporaneous signals of banking sector distress that can precede a credit crunch.
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