Conceptual Issues in Calibrating the Basel III Countercyclical Capital Buffer

Higher Bank Capital Requirements and mortgage pricing: evidence from the Countercyclical Capital Buffer (CCB)

Emerging problems with the Basel Capital Accord: Regulatory capital arbitrage and related issues

In recent years, securitization and other ®nancial innovations have provided unprecedented opportunities for banks to reduce substantially their regulatory capital requirements with little or no corresponding reduction in their overall economic risks ± a process termed ``regulatory capital arbitrage''. These methods are used routinely to lower the e€ective risk-based capital requirements agains...

New Basel Capital Accord

The Disturbing Interaction Between Countercyclical Capital Requirements and Systemic Risk

We consider an economy in which flat capital requirements are costly because they inefficiently reduce lending when aggregate conditions are unfavorable. Countercyclical capital requirements – which impose lower capital demands in bad aggregate states – have the potential to improve welfare. However, we show that such capital requirements also have a cost as they increase systemic risk taking a...

Countercyclical Bank Capital Requirement and Optimized Monetary Policy Rules

Bank of Canada working papers are theoretical or empirical works-in-progress on subjects in economics and finance. The views expressed in this paper are those of the authors. No responsibility for them should be attributed to the Bank of Canada. ii Acknowledgements We are grateful to participants of the workshop at the Bank of Canada for helpful comments. We thank Benjamin Evens for excellent r...