Excessive Credit Growth and Countercyclical Capital Buffers in Basel III: An Empirical Evidence from Central and East European Countries
Adam Gersl and
ACTA VSFS, 2012, vol. 6, issue 2, 91-107
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 III 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 III (search for similar items in EconPapers)
JEL-codes: G01 G21 G18 (search for similar items in EconPapers)
References: View complete reference list from CitEc
Citations: View citations in EconPapers (10) Track citations by RSS feed
Downloads: (external link)
Working Paper: Excessive credit growth and countercyclical capital buffers in basel III: an empirical evidence from central and east european countries (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:prf:journl:v:6:y:2012:i:2:p:91-107
Access Statistics for this article
More articles in ACTA VSFS from University of Finance and Administration Contact information at EDIRC.
Bibliographic data for series maintained by Jan Emmer ().