Arbeitspapier
Calibrating the magnitude of the countercyclical capital buffer using market-based stress tests
This paper proposes a novel methodology to calibrate the magnitude of the cap on the countercyclical capital buffer (CCyB) using market-based stress tests. The macroprudential authority in our paper aims to contain the possibility of a breach of a minimum capital ratio in the event of a severe system-wide shock within a certain permissible failure probability. To meet its objective during periods of challenging macro-financial conditions, the macroprudential authority requires banks to build up the CCyB during credit booms. We show how market-based stress tests can be used to estimate the necessary magnitude of the CCyB. We apply the methodology to major banks in six advanced economies. Our estimates suggest a magnitude of the cap on the CCyB in a range from 1.4 to 1.7 per cent of total assets, depending on the ability of the macro-prudential authority to forecast macrofinancial conditions.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Staff Working Paper ; No. 2018-54
- Klassifikation
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
- Thema
-
Financial institutions
Financial stability
Financial system regulation and policies
- Ereignis
-
Geistige Schöpfung
- (wer)
-
van Oordt, Maarten R. C.
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2018
- DOI
-
doi:10.34989/swp-2018-54
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- van Oordt, Maarten R. C.
- Bank of Canada
Entstanden
- 2018
Ähnliche Objekte (12)
The countercyclical capital buffer and international bank lending: Evidence from Canada
Child skill production: Accounting for parental and market-based time and goods investments
Extracting information from the business outlook survey using statistical approaches
International business cycles and financial frictions
Consumer interest rates and retail mutual fund flows
Persistent Leverage in Portfolio Sorts: An Artifact of Measurement Error?
A note on central counterparties in repo markets
To share or not to share? Uncovered losses in a derivatives clearinghouse
Wait a minute: The efficacy of discounting versus non-pecuniary payment steering
Information flows and aggregate persistence
Real and nominal frictions within the firm: How lumpy investment matters for price adjustment
The causal impact of migration on US trade: Evidence from political refugees
The countercyclical capital buffer and international bank lending: Evidence from Canada
Child skill production: Accounting for parental and market-based time and goods investments
Extracting information from the business outlook survey using statistical approaches
International business cycles and financial frictions
Consumer interest rates and retail mutual fund flows
Persistent Leverage in Portfolio Sorts: An Artifact of Measurement Error?
A note on central counterparties in repo markets
To share or not to share? Uncovered losses in a derivatives clearinghouse
Wait a minute: The efficacy of discounting versus non-pecuniary payment steering
Information flows and aggregate persistence
Real and nominal frictions within the firm: How lumpy investment matters for price adjustment
The causal impact of migration on US trade: Evidence from political refugees
The countercyclical capital buffer and international bank lending: Evidence from Canada
Child skill production: Accounting for parental and market-based time and goods investments
Extracting information from the business outlook survey using statistical approaches
International business cycles and financial frictions
Consumer interest rates and retail mutual fund flows
Persistent Leverage in Portfolio Sorts: An Artifact of Measurement Error?
A note on central counterparties in repo markets
To share or not to share? Uncovered losses in a derivatives clearinghouse
Wait a minute: The efficacy of discounting versus non-pecuniary payment steering
Information flows and aggregate persistence
Real and nominal frictions within the firm: How lumpy investment matters for price adjustment