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B asel III : Long‐term Impact on Economic Performance and Fluctuations
Author(s) -
Angelini Paolo,
Clerc Laurent,
Cúrdia Vasco,
Gambacorta Leonardo,
Gerali Andrea,
Locarno Alberto,
Motto Roberto,
Roeger Werner,
Van den Heuvel Skander,
Vlček Jan
Publication year - 2015
Publication title -
the manchester school
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.361
H-Index - 42
eISSN - 1467-9957
pISSN - 1463-6786
DOI - 10.1111/manc.12056
Subject(s) - economics , volatility (finance) , market liquidity , basel iii , basel ii , monetary economics , capital requirement , risk weighted asset , capital (architecture) , basel i , macroeconomics , econometrics , human capital , microeconomics , capital formation , financial capital , market economy , archaeology , history , incentive
Using a wide range of macroeconomic and econometric models we assess the long‐term economic impact of the Basel III reform. Our main results are the following. (1) The economic costs of the new regulatory standards for bank capital and liquidity are considerably below existing estimates of the benefits that the reform should have by reducing the probability of banking crises (Basel Committee on Banking Supervision (2010) ‘An Assessment of the Long‐term Impact of Stronger Capital and Liquidity Requirements’, Basel). (2) The reform dampens output volatility modestly, although there is some heterogeneity across models. (3) The adoption of countercyclical capital buffers can substantially amplify the dampening effect on output volatility.