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dc.contributor.authorBEKIROS, Stelios D.
dc.contributor.authorNILAVONGSE, Rachatar
dc.contributor.authorUDDIN, Gazi Salah
dc.date.accessioned2018-12-06T13:55:36Z
dc.date.available2018-12-06T13:55:36Z
dc.date.issued2018
dc.identifier.citationJournal of economic dynamics & control, 2018, Vol. 93, pp. 315-331
dc.identifier.issn0165-1889
dc.identifier.issn1879-1743en
dc.identifier.urihttps://hdl.handle.net/1814/59971
dc.descriptionAvailable online: 08 February 2018en
dc.description.abstractThis paper incorporates anticipated and unanticipated shocks to bank capital into a DSGE model with a banking sector. We apply this model to study Basel III countercyclical capital requirements and their implications for banking stability and household welfare. We introduce three different countercyclical capital rules. The first countercyclical capital rule responds to credit to output ratio. The second countercyclical rule reacts to deviations of credit to its steady state, and the third rule reacts to credit growth. The second rule proves to be the most effective tool in dampening credit supply, housing demand and household debt as well as in enhancing the banking stability by ensuring that banks have higher bank capital and capital to asset ratio. After conducting a welfare analysis we find that the second rule outranks the other ones followed by the first rule, the baseline and the third rule respectively in terms of welfare accumulation.
dc.description.sponsorshipJan Wallanders and Tom Hedelius Foundation
dc.language.isoen
dc.publisherElsevieren
dc.relation.ispartofJournal of economic dynamics & control
dc.subjectBanking stability
dc.subjectBasel III
dc.subjectCapital requirements
dc.subjectNews shocks
dc.subjectWelfare analysis
dc.subjectMonetary-policyen
dc.subjectFinancial stabilityen
dc.subjectBusiness cyclesen
dc.subjectCrediten
dc.subjectPricesen
dc.subjectRulesen
dc.subjectNewsen
dc.titleBank capital shocks and countercyclical requirements : implications for banking stability and welfare
dc.typeArticleen
dc.identifier.doi10.1016/j.jedc.2018.01.049
dc.identifier.volume93
dc.identifier.startpage315
dc.identifier.endpage331
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