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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

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

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název periodika

Eastern European Economics

ISSN

0012-8775

e-ISSN

—

Svazek periodika

53

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

27

Strana od-do

439-465

Kód UT WoS článku

000367259000001

EID výsledku v databázi Scopus

2-s2.0-84951275771