FRAIT, Jan, Jan HÁJEK and Miroslav PLAŠIL. Setting Countercyclical Capital Buffer Throughout the Financial Cycle. In Beros, M. B., Recker, N., Kozina, M. 27 th International Scientific Conference on Economic and Social Development. 1st ed. University of Warsaw, Poland: Economic and Social Development. p. 111-119. ISSN 1849-7535. 2018.
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Basic information
Original name Setting Countercyclical Capital Buffer Throughout the Financial Cycle
Name in Czech Stanovování proticyklické kapitálové rezervy v průběhu finančního cyklu
Authors FRAIT, Jan, Jan HÁJEK and Miroslav PLAŠIL.
Edition 1. vyd. University of Warsaw, Poland, 27 th International Scientific Conference on Economic and Social Development, p. 111-119, 9 pp. 2018.
Publisher Economic and Social Development
Other information
Original language English
Type of outcome Proceedings paper
Field of Study 50206 Finance
Country of publisher Poland
Confidentiality degree is not subject to a state or trade secret
Publication form electronic version available online
WWW odkaz na sbornik v pdf verzi
Organization unit Institute VSFS
ISSN 1849-7535
Keywords (in Czech) proticyklická kapitálová rezerva, mezera credit-to-GDP, úvěrové ztráty finanční cyklus
Keywords in English countercyclical capital buffer; credit-to-GDP gap; credit losses; financial cycle
Tags AR 2017-2018, konference_WOS, xD2
Tags Reviewed
Links GA16-21506S, research and development project.
Changed by Changed by: Ing. Dominika Moravcová, učo 21787. Changed: 24/7/2018 14:04.
Abstract
Basel III regulatory framework an important macroprudential instrument: a countercyclical capital buffer. This instrument is designed to reduce the consequences of worsened access of firms and households to banking credit in bad times. This paper proposes the approach to the countercyclical capital buffer using the experience of the Czech National Bank. It describes its decision-making process from assessing the position of the economy in the financial cycle through to setting the buffer rate. The approach that can be labelled discretion guided by multiple-factor analysis builds upon the signals from both individual and composite indicators of financial cycle and systemic risk. The paper then describes the factors that the macroprudential authority takes into account when setting the specific countercyclical capital buffer rate.
Abstract (in Czech)
Basel III regulatory framework an important macroprudential instrument: a countercyclical capital buffer. This instrument is designed to reduce the consequences of worsened access of firms and households to banking credit in bad times. This paper proposes the approach to the countercyclical capital buffer using the experience of the Czech National Bank. It describes its decision-making process from assessing the position of the economy in the financial cycle through to setting the buffer rate. The approach that can be labelled discretion guided by multiple-factor analysis builds upon the signals from both individual and composite indicators of financial cycle and systemic risk. The paper then describes the factors that the macroprudential authority takes into account when setting the specific countercyclical capital buffer rate.
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