Operationalising the Countercyclical Capital Buffer: Indicator Selection, Threshold Identification and Calibration Options

95 Pages Posted: 5 Nov 2020

See all articles by Carsten Detken

Carsten Detken

European Central Bank (ECB)

Olaf Weeken

affiliation not provided to SSRN

Lucia Alessi

affiliation not provided to SSRN

Diana Bonfim

Banco de Portugal; Catholic University of Portugal (UCP) - Catolica Lisbon School of Business and Economics

Miguel Boucinha

European Central Bank (ECB)

Christian Castro

Banco de España

Sebastian Frontczak

affiliation not provided to SSRN

Gaston Giordana

affiliation not provided to SSRN

Julia Giese

Bank of England

Nadya Wildmann

affiliation not provided to SSRN

Jan Kakes

De Nederlandsche Bank - Monetary and Economic Policy Department

Benjamin Klaus

European Central Bank (ECB)

Jan Hannes Lang

European Central Bank (ECB)

Natalia Puzanova

Deutsche Bundesbank

Peter Welz

European Central Bank

Date Written: June, 2014

Abstract

This paper presents the analysis underpinning the ESRB Recommendation on guidance on setting countercyclical buffer rates (ESRB 2014/1). The Recommendation is designed to help authorities tasked with setting the countercyclical capital buffer (CCB) to operationalise this new macroprudential instrument. It follows on from the EU prudential rules for the banking system that came into effect on 1 January 2014.

Keywords: banking regulation, countercyclical capital buffer, systemic risk

JEL Classification: G21, G18, E58

Suggested Citation

Detken, Carsten and Weeken, Olaf and Alessi, Lucia and Bonfim, Diana and Boucinha, Miguel and Castro, Christian and Frontczak, Sebastian and Giordana, Gaston and Giese, Julia and Wildmann, Nadya and Kakes, Jan and Klaus, Benjamin and Lang, Jan Hannes and Puzanova, Natalia and Welz, Peter, Operationalising the Countercyclical Capital Buffer: Indicator Selection, Threshold Identification and Calibration Options (June, 2014). ESRB: Occasional Paper Series No. 2014/5, Available at SSRN: https://ssrn.com/abstract=3723336

Carsten Detken (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
0049 69 13440 (Phone)
0049 69 1344 6000 (Fax)

Olaf Weeken

affiliation not provided to SSRN

No Address Available

Lucia Alessi

affiliation not provided to SSRN

Diana Bonfim

Banco de Portugal ( email )

Av Almirante Reis, 71
P-1150-012 Lisboa
Portugal

Catholic University of Portugal (UCP) - Catolica Lisbon School of Business and Economics ( email )

Palma de Cima
Lisbon, 1649-023
Portugal

Miguel Boucinha

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Christian Castro

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

Sebastian Frontczak

affiliation not provided to SSRN

No Address Available

Gaston Giordana

affiliation not provided to SSRN

No Address Available

Julia Giese

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

Nadya Wildmann

affiliation not provided to SSRN

No Address Available

Jan Kakes

De Nederlandsche Bank - Monetary and Economic Policy Department ( email )

Westeinde 1
1017 ZN Amsterdam
Netherlands

Benjamin Klaus

European Central Bank (ECB) ( email )

Frankfurt
Germany

Jan Hannes Lang

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Natalia Puzanova

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

Peter Welz

European Central Bank ( email )

Kaiserstrasse 29
Frankfurt am Main, DE D-60311
Germany

HOME PAGE: http://www.ecb.int

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