Excessive credit growth and countercyclical capital buffers in basel III: an empirical evidence from central and east european countries

Jakub Seidler and Adam Gersl

MPRA Paper from University Library of Munich, Germany

Abstract: Excessive credit growth is often considered to be an indicator of future problems in the financial sector. This paper examines the issue of how best to determine whether the observed level of private sector credit is excessive in the context of the “countercyclical capital buffer”, a macroprudential tool proposed in the new regulatory framework of Basel II by the Basel Committee on Banking Supervision. An empirical analysis of selected Central and Eastern European countries, including the Czech Republic, provides alternative estimates of excessive private credit and shows that the HP filter calculation proposed by the Basel Committee is not necessarily a suitable indicator of excessive credit growth for converging countries.

Keywords: credit growth; financial crisis; countercyclical capital buffer; Basel II (search for similar items in EconPapers)
JEL-codes: G01 G18 G21 (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-acc, nep-ban, nep-cba, nep-eec, nep-fdg, nep-fmk, nep-rmg and nep-tra
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Citations: View citations in EconPapers (18)

Published in ACTA VSFS 2.6(2012): pp. 91

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https://mpra.ub.uni-muenchen.de/43689/1/MPRA_paper_43689.pdf revised version (application/pdf)

Related works:
Journal Article: Excessive Credit Growth and Countercyclical Capital Buffers in Basel III: An Empirical Evidence from Central and East European Countries (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:42541

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