Are risk weights of banks in the Czech Republic procyclical? Evidence from wavelet analysis
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F21%3A10424691" target="_blank" >RIV/00216208:11230/21:10424691 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=oqpj2kfH-_" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=oqpj2kfH-_</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.2478/jcbtp-2021-0006" target="_blank" >10.2478/jcbtp-2021-0006</a>
Alternative languages
Result language
angličtina
Original language name
Are risk weights of banks in the Czech Republic procyclical? Evidence from wavelet analysis
Original language description
We analyze the cyclicality of risk weights of banks in the Czech Republic from 2008 to 2016. We differentiate between risk weights under the internal ratings-based and those under the standardized approach, consider the financial cycle, and employ wavelet coherence as a means of dynamic correlation analysis. Our results indicate that the risk weights of exposures under the internal ratings-based approach, including risk weights related to exposures secured by real estate collateral, are procyclical with respect to the financial cycle. We also show that the effect of changing asset quality on risk weights is present for the internal ratings-based approach, in line with our expectations based on regulatory standards. Our results can be employed for the purposes of decision-making on the activation of supervisory and macroprudential instruments, including the countercyclical capital buffer. (C) 2021 Sciendo. All rights reserved.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Central Banking Theory and Practice
ISSN
1800-9581
e-ISSN
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Volume of the periodical
10
Issue of the periodical within the volume
1
Country of publishing house
CS - SERBIA AND MONTENEGRO
Number of pages
27
Pages from-to
113-139
UT code for WoS article
000625570900006
EID of the result in the Scopus database
2-s2.0-85100810603