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Countercyclical Capital Buffers and Credit-to-GDP Gaps: Simulation for Central, Eastern, and Southeastern Europe

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F15%3A10318223" target="_blank" >RIV/00216208:11230/15:10318223 - isvavai.cz</a>

  • Result on the web

    <a href="http://dx.doi.org/10.1080/00128775.2015.1102602" target="_blank" >http://dx.doi.org/10.1080/00128775.2015.1102602</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1080/00128775.2015.1102602" target="_blank" >10.1080/00128775.2015.1102602</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Countercyclical Capital Buffers and Credit-to-GDP Gaps: Simulation for Central, Eastern, and Southeastern Europe

  • Original language description

    Under Basel III, banks are required to build up countercyclical capital buffers during periods of excessive credit growth to cover future credit losses. Based on a review of the credit boom episodes in sixteen Central, Eastern, and Southeastern Europeancountries during 2000s, two measures of excessive credit are calculated: one based on the Hodrick-Prescott filter, as suggested by the Basel Committee for the activation of the countercyclical buffer, and the other based on an estimate of equilibrium credit. While the filtering-based measure signals future credit losses quite well, using the measure based on equilibrium credit improves the forecast of future deleveraging and its impact on GDP.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2015

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Eastern European Economics

  • ISSN

    0012-8775

  • e-ISSN

  • Volume of the periodical

    53

  • Issue of the periodical within the volume

    6

  • Country of publishing house

    US - UNITED STATES

  • Number of pages

    27

  • Pages from-to

    439-465

  • UT code for WoS article

    000367259000001

  • EID of the result in the Scopus database

    2-s2.0-84951275771