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Anchoring countercyclical capital buffers : The role of credit aggregates

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  • Anchoring countercyclical capital buffers
  • Drehmann, Mathias; Borio, Claudio; Tsatsaronis, Kostas
  • Bank for International Settlements


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Title Anchoring countercyclical capital buffers
Similar Titles
Sub Title

The role of credit aggregates

Material Type Report
Author(English)

Drehmann, Mathias; Borio, Claudio; Tsatsaronis, Kostas

Publisher

Bank for International Settlements

Date 2011-11
Series Title; No BIS Working Papers / 355
Pages 39
Subject Country Switzerland(Europe)
Language English
File Type Link
Subject Economy < Economic Conditions
Economy < Economic Administration
Economy < Economic System
Holding Bank for International Settlements
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Abstract

We investigate the performance of different variables as anchors for setting the level of the countercyclical regulatory capital buffer requirements for banks. The gap between the ratio of credit-to-GDP and its long-term backward-looking trend performs best as an indicator for the accumulation of capital as this variable captures the build-up of system-wide vulnerabilities that typically lead to banking crises. Other indicators, such as credit spreads, are better in indicating the release phase as they are contemporaneous signals of banking sector distress that can precede a credit crunch