The Countercyclical Capital Buffer in Spain: An Analysis of Key Guiding Indicators

39 Pages Posted: 28 Jan 2016

See all articles by Christian E. Castro

Christian E. Castro

Autonomous University of Barcelona

Ángel Estrada

Banco de España

Jorge Martínez-Pagés

Banco de España

Date Written: January 26, 2016


This paper analyses a group of quantitative indicators to guide the Basel III countercyclical capital buffer (CCB) in Spain. Using data covering three stress events in the Spanish banking system since the early 1960s, we describe a number of conceptual and practical issues that may arise with the Basel benchmark buffer guide (i.e. the credit-to-GDP gap) and study alternative specifications plus a number of complementary indicators. In this connection, we explore ways to deal with structural changes that may lead to some shortcomings in the indicators. Overall, we find that indicators of credit ‘intensity’ (where we propose the ratio of changes in credit to GDP), private sector debt sustainability, real estate prices and external imbalances can usefully complement the credit-to-GDP gap when taking CCB decisions in Spain.

Keywords: countercyclical capital buffer, credit-to-GDP gap, guiding indicators, build-up phase, credit intensity, real estate prices, external imbalances, private sector debt sustainability, macroprudential policy

JEL Classification: E58, G01, G21, G28, G32

Suggested Citation

Castro, Christian E. and Estrada, Ángel and Martínez Pagés, Jorge, The Countercyclical Capital Buffer in Spain: An Analysis of Key Guiding Indicators (January 26, 2016). Banco de Espana Working Paper No. 1601, Available at SSRN: or

Christian E. Castro (Contact Author)

Autonomous University of Barcelona ( email )

CC Econòmiques i Empresarials-Edifici B-Bellaterra
Barcelona, 08193

Ángel Estrada

Banco de España ( email )

Alcala 50
Madrid 28014


Jorge Martínez Pagés

Banco de España ( email )

Madrid 28014

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