Procyclicality in Basel III in the Visegrad countries

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Procyclicality in Basel III in the Visegrad countries

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Procyclicality in Basel III in the Visegrad countries

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GPP403%2F10%2FP278" target="_blank" >GPP403/10/P278: Implikace globální krize na řízení ekonomického kapitálu finančních institucí</a><br>

Návaznosti

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

Rok uplatnění

2012

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

14

Strana od-do

437-450

Název nakladatele

Silesian University, School of Business Administration in Karvina

Místo vydání

Karvina

Místo konání akce

Ostrava

Datum konání akce

12. 10. 2011

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000309369700044