Countercyclical banking capital buffers in a DSGE model

In this document we develop a DSGE model to analyze the effect that a consumption boom and a productivity shock have over financial stability and macroeconomic variables, in both, an economy with and without Basel III capital requirements and earnings reinvestment rule. The results suggest that Base...

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Detalles Bibliográficos
Autores Principales: Caicedo, Santiago, Estrada, Dairo Ayiber, Laverde, Mariana
Formato: Documento de trabajo (Working Paper)
Lenguaje:Inglés (English)
Publicado: Banco de la República de Colombia 2012
Materias:
Acceso en línea:http://repositorio.banrep.gov.co/handle/20.500.12134/2086
Descripción
Sumario:In this document we develop a DSGE model to analyze the effect that a consumption boom and a productivity shock have over financial stability and macroeconomic variables, in both, an economy with and without Basel III capital requirements and earnings reinvestment rule. The results suggest that Basel III requirements have a positive impact over financial stability variables and that additional capital requirements do not restrict banking activity.