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
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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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
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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