Bâle III et la régulation macro-prudentielle: une analyse contrefactuelle de l’activation du coussin contra-cyclique

Abdallah Mohamed Abass and Adrian Pop

Revue d'économie politique, 2023, vol. 133, issue 4, 601-644

Abstract: We propose a critical assessment of the Basel Committee?s macro-prudential proposal to mitigate the pro-cyclicality of risk-sensitive capital regulations. We compare first the credittoGDP gap and other macroeconomic and financial variables in their ability to predict banking sector vulnerabilities. Then, based on a counterfactual empirical implementation, we test a statistical procedure aiming at identifying a set of triggers for countercyclical capital buffers. We test our proposal using data characterizing the South Africa banking sector. JEL Codes: G21; G28

JEL-codes: G28 (search for similar items in EconPapers)
Date: 2023
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