Anchoring Countercyclical Capital Buffers: The Role of Credit Aggregates
Anchoring Countercyclical Capital Buffers: The Role of Credit Aggregates
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锚定反周期资本缓冲：信贷总量的作用
DOI：
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发表时间：
2011
期刊：
影响因子：
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通讯作者：
Kostas Tsatsaronis
中科院分区：
文献类型：
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作者：
Mathias Drehmann;C. Borio;Kostas Tsatsaronis
我们研究了不同变量作为锚点的表现，为银行设定了反周期监管资本缓冲要求的水平。信贷与GDP之比及其长期向后趋势之间的差距作为资本积累的指标表现最佳，因为这一变量反映了通常导致银行危机的全系统脆弱性的积累。其他指标，如信贷息差，更好地表明释放阶段，因为它们是银行业困境的同时信号，可能先于信贷紧缩。
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 as this variable captures the build-up of system-wide vulnerabilities that typically lead to banking crises. Other indicators, such as credit spreads, are better in indicating the release phase as they are contemporaneous signals of banking sector distress that can precede a credit crunch.