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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]

Author

Listed:
  • 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)

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.

Suggested Citation

  • Abdallah Mohamed Abass & Adrian Pop, 2023. "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-cycli," Post-Print hal-04212977, HAL.
    • Handle: RePEc:hal:journl:hal-04212977
    DOI: 10.3917/redp.334.0601
    as

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