Credit Growth and Countercyclical Capital Buffers: Empirical Evidence from Central and Eastern European Countries
Adam Gersl and
Jakub Seidler
No 2012/3, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
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 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: Basel regulation; credit growth; financial crisis countercyclical buffer (search for similar items in EconPapers)
JEL-codes: G01 G18 G21 (search for similar items in EconPapers)
Pages: 18
Date: 2012-02, Revised 2012-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)
Downloads: (external link)
http://ies.fsv.cuni.cz/default/file/download/id/19324 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://ies.fsv.cuni.cz/default/file/download/id/19324 [301 Moved Permanently]--> https://ies.fsv.cuni.cz/default/file/download/id/19324)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:fau:wpaper:wp2012_3
Access Statistics for this paper
More papers in Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Contact information at EDIRC.
Bibliographic data for series maintained by Natalie Svarcova ().