Assessing the cyclical behaviour of bank capital buffers in a finance-augmented macro-economy

摘要

This paper empirically analyses how the banks' capital buffers change with the business cycle. We extract the cycle component using univariate and multivariate filters to document how buffers behave. We also account for the impact of financial factors on capital buffers over the business cycle. Using a large panel of banks for the period 2000-2014, we document evidence that once we account for the impact of financial factors on the business cycle, capital buffers behave more pro-cyclically than previously found in the literature. Furthermore, we provide evidence that large commercial banks react differently to business cycle movements compared to small banks. Overall, these results have important implications for the development of macroprudential policy tools for the global financial system. (C) 2020 Elsevier Ltd. All rights reserved.