Procyclicality in Basel III in the Visegrad countries

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F12%3A10124266" target="_blank" >RIV/00216208:11230/12:10124266 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Procyclicality in Basel III in the Visegrad countries
Original language description
The term procyclicality refers to the ability of a system to amplify, business cycles. The recent financial crisis has revealed that the current bank regulatory framework Basel II affects the business cycle in exactly that manner. As a result, the newlypublished Basel III has introduced tools that should mitigate the procyclical nature of regulatory framework As the Basel III framework was published in December 2010, there are few studies analyzing its effect on procyclicality. The aim of the paper isto analyze whether the new tools are effective and whether the procyclicality under Basel III has been mitigated compared to Basel II. We employ a regression model with households and firm sector in order to conduct such analysis. Using the OLS estimation method we estimate the sensitivity of Basel risk weights to the business cycle under both Basel II and Basel III conditions. The main contribution of this paper consists of implementation of Basel III countercyclical tools and of compar
Czech name
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Czech description
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Project
<a href="/en/project/GPP403%2F10%2FP278" target="_blank" >GPP403/10/P278: The Implications of The Global Crisis on Economic Capital Management of Financial Institutions</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 13th International Conference on Finance and Banking
ISBN
978-80-7248-753-0
ISSN
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e-ISSN
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Number of pages
14
Pages from-to
437-450
Publisher name
Silesian University, School of Business Administration in Karvina
Place of publication
Karvina
Event location
Ostrava
Event date
Oct 12, 2011
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000309369700044

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