Journal Article
Cyclical implications of the Basel II capital standards
Abstract: This article reviews the economic efficiency implications of the Basel II capital standards. The authors argue that the mapping from measures of loan risk to capital requirements should not be time-invariant, but rather should be allowed to vary with business cycle conditions. They also attempt to assess empirically how much cyclicality in capital requirements might be induced by the current Basel II proposal. They find that the degree of cyclicality can be substantial.
Keywords: Bank capital; Business cycles;
Access Documents
File(s): File format is application/pdf http://www.chicagofed.org/digital_assets/publications/economic_perspectives/2004/ep_1qtr2004_part2_kashyap_stein.pdf
Authors
Bibliographic Information
Provider: Federal Reserve Bank of Chicago
Part of Series: Economic Perspectives
Publication Date: 2004
Volume: 28
Issue: Q I
Pages: 18-31