Triggers for Basel III Countercyclical Capital Buffers: A Counterfactual Analysis

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

Abdallah Mohamed Abass and Adrian Pop ()
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Abdallah Mohamed Abass: Université de Djibouti
Adrian Pop: Nantes Univ - IAE Nantes - Nantes Université - Institut d'Administration des Entreprises - Nantes - Nantes Université - pôle Sociétés - Nantes Univ - Nantes Université, LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - Nantes Univ - IAE Nantes - Nantes Université - Institut d'Administration des Entreprises - Nantes - Nantes Université - pôle Sociétés - Nantes Univ - Nantes Université

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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 credit-to-GDP 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.

Keywords: solvabilité bancaire; régulation macro-prudentielle; pro-cyclicité; cousin contra-cyclique; Bâle III (search for similar items in EconPapers)
Date: 2023-08-30
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Published in Revue d'économie politique, 2023, Vol. 133 (4), pp.601-644. ⟨10.3917/redp.334.0601⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04212977

DOI: 10.3917/redp.334.0601

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