Basel III countercyclical bank capital buffer estimation and its relation to monetary policy

IF 3.3 Q1 BUSINESS, FINANCE
Juan F. Rendón , Lina M. Cortés , Javier Perote
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引用次数: 0

Abstract

This paper proposes a new model to estimate the countercyclical bank solvency capital buffer established in Basel III. The model lies in a flexible semi-nonparametric approach to capture the probability distribution of the capital adequacy ratio, but also a stochastic Ornstein–Uhlenbeck process that incorporates components of the cyclical behavior. We measure the risk of breaching the minimum capital threshold that separates the countercyclical capital buffer from other capital components and analyze its relationship with macroeconomic variables such as interest rates, credit levels, and credit-to-GDP gaps. Furthermore, a vector autoregressive model is estimated to test the existence of the bank-capital channel and the risk-taking channel. The application to Germany and the Netherlands shows that countercyclical buffers are more accurate when skewness and kurtosis are considered and the probability of breaching the regulatory threshold is sensitive to macroeconomic signals. Overall, our model seems to be a useful tool for monitoring prudential policy and as a guide to establish countercyclical capital buffers.

巴塞尔协议 III》反周期银行资本缓冲估算及其与货币政策的关系
本文提出了一个新模型来估算《巴塞尔协议 III》中规定的反周期银行偿付能力资本缓冲。该模型采用灵活的半非参数方法来捕捉资本充足率的概率分布,同时还采用随机奥恩斯坦-乌伦贝克过程(Ornstein-Uhlenbeck process)来纳入周期性行为的组成部分。我们衡量了违反最低资本门槛的风险,该门槛将逆周期资本缓冲与其他资本组成部分区分开来,并分析了其与利率、信贷水平和信贷与国内生产总值差距等宏观经济变量之间的关系。此外,还估算了一个向量自回归模型,以检验银行资本渠道和风险承担渠道是否存在。对德国和荷兰的应用表明,当考虑偏度和峰度时,反周期缓冲更加准确,而且突破监管阈值的概率对宏观经济信号很敏感。总之,我们的模型似乎是监测审慎政策的有用工具,也是建立反周期资本缓冲的指南。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
6.20
自引率
2.60%
发文量
31
期刊介绍: Journal of Economics and Business: Studies in Corporate and Financial Behavior. The Journal publishes high quality research papers in all fields of finance and in closely related fields of economics. The Journal is interested in both theoretical and applied research with an emphasis on topics in corporate finance, financial markets and institutions, and investments. Research in real estate, insurance, monetary theory and policy, and industrial organization is also welcomed. Papers that deal with the relation between the financial structure of firms and the industrial structure of the product market are especially encouraged.
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