文章基本信息

标题：Setting countercyclical capital buffers based on early warning models: would it work?
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作者：Markus Behn ; Carsten Detken ; Tuomas A. Peltonen 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2013
出版社：European Central Bank
摘要：This paper assesses the usefulness of private credit variables and other macrofinancial and banking sector indicators for the setting of Basel III / CRD IV countercyclical capital buffers (CCBs) in a multivariate early warning model framework, using data for 23 EU Members States from 1982Q2 to 2012Q3. We find that in addition to credit variables, other domestic and global financial factors such as equity and house prices as well as banking sector variables help to predict vulnerable states of the economy in EU Member States. We therefore suggest that policy makers take a broad approach in their analytical models supporting CCB policy measures.
关键词：Basel III; CRD IV; countercyclical capital buffer; financial regulation;banking crises; early warning model