IDEAS home Printed from https://ideas.repec.org/a/hin/jnddns/318732.html
   My bibliography  Save this article

Asymmetric Procyclicality of Chinese Banking and the Countercyclical Buffer of Basel III

Author

Listed:
  • Yufeng Li
  • Zhongfei Li

Abstract

Since the global financial crisis of 2007-2008, the importance of the procyclicality in the banking sector has been highlighted. One of the Basel III objectives is to promote countercyclical buffers and reduce procyclicality. We apply time-varying copula combined with GARCH model to test the existence of asymmetric procyclicality of Chinese banking. The results show that the procyclicality of Chinese banking is asymmetric, where the dependence between loan and economy growth is more correlated during the decline stage than the rise stage of economy. Based on this asymmetry, we suggest that the authority can use high frequent index for signalling the start point of releasing countercyclical buffer and accelerate the releasing pace to avoid the supply of credit being constrained by regulatory capital requirements in downturns.

Suggested Citation

  • Yufeng Li & Zhongfei Li, 2015. "Asymmetric Procyclicality of Chinese Banking and the Countercyclical Buffer of Basel III," Discrete Dynamics in Nature and Society, Hindawi, vol. 2015, pages 1-9, January.
    • Handle: RePEc:hin:jnddns:318732
    DOI: 10.1155/2015/318732
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/DDNS/2015/318732.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/DDNS/2015/318732.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2015/318732?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:jnddns:318732. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.