The Countercyclical Capital Buffer of Basel III: A Critical Assessment
The Countercyclical Capital Buffer of Basel III: A Critical Assessment
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发表时间：
2011-03
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通讯作者：
Rafael Repullo;Jesus Saurina Salas
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作者：
Rafael Repullo;Jesus Saurina Salas
我们对新的巴塞尔协议 III 监管框架中的反周期资本缓冲进行了严格评估，该评估基于信贷与 GDP 比率相对于其趋势的偏差。我们认为，机械地应用缓冲往往会在 GDP 增长较高时降低资本要求，在 GDP 增长较低时增加资本要求，因此最终可能会加剧风险敏感的银行资本监管的固有顺周期性。我们还注意到，巴塞尔协议 III 没有以任何其他方式解决顺周期性问题。我们建议根据 GDP 增长对最低资本要求进行完全基于规则的平滑。
We provide a critical assessment of the countercyclical capital buffer in the new regulatory framework known as Basel III, which is based on the deviation of the credit-to-GDP ratio with respect to its trend. We argue that a mechanical application of the buffer would tend to reduce capital requirements when GDP growth is high and increase them when GDP growth is low, so it may end up exacerbating the inherent pro-cyclicality of risk-sensitive bank capital regulation. We also note that Basel III does not address pro-cyclicality in any other way. We propose a fully rule-based smoothing of minimum capital requirements based on GDP growth.