The impact of business cycle on capital buffer during the period of Basel-II and Basel-III: Evidence from the Pakistani banks

Khurram Iftikhar and Syed Faizan Iftikhar ()
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Khurram Iftikhar: Applied Economics Research Centre (AERC), University of Karachi, Karachi, Pakistan
Syed Faizan Iftikhar: Applied Economics Research Centre (AERC), University of Karachi, Karachi, Pakistan

International Journal of Financial Engineering (IJFE), 2018, vol. 05, issue 04, 1-20

Abstract: The main objective of this study is to examine the behavior of capital buffer (whether procyclicality or countercyclical) for Pakistani banks after implementation of the BASEL-II and BASEL-III accord. The sample in this study consists of 34 commercial banks of Pakistan during the period from 2006 to 2015. The impact of business cycle on Capital Buffer has been obtained by using the two-step system Generalized Method of Moment estimation technique. The empirical findings suggest that the behavior of the banks found to be procyclicality in whole sample period while it turns to be counter-cyclical after implementation of Basel-III accord.

Keywords: Capital buffer; business cycle; pro-cyclicality; Basel accords (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1142/S2424786318500366

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