View More View Less
  • 1 Mendel University in Brno, Czech Republic
Restricted access

The pro-cyclical effect of provision is generally agreed and widely discussed in the context of the current financial crisis. The new model of the dynamic provisions applied in Spain showed countercyclical effects on the credit and business cycle. We simulate development of the dynamic provisions during the financial crisis and discuss the possible consequences. We apply a panel data model of the past credit cycle to calibrate the parameters following the same approach as in the Spanish dynamic provision. Our contribution is in the application of dynamic provisions on the banking systems for the V4 countries.

  • BCBS (2011): Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systeme. Bank for International Settlements.

    • Search Google Scholar
    • Export Citation
  • Bikker, J. A.Metzemakers, P. A. J. (2005): Bank Provisioning Behaviour and Procyclicality. Journal of International Financial Markets, Institutions and Money 15(2): 141157.

    • Search Google Scholar
    • Export Citation
  • Borio, C. (2003): Towards a Macroprudential Framework for Financial Supervision and Regulation? BIS Working Papers 128, Bank for International Settlements.

    • Search Google Scholar
    • Export Citation
  • Borio, C.Drehmann, M. (2009): Towards an Operational Framework for Financial Stability: ‘Fuzzy’ Measurement and Its Consequences. In: Banco Central de Chile (ed.): Financial Stability, Monetary Policy and Central Banking.

    • Search Google Scholar
    • Export Citation
  • Bry, G.Boschan, C. (1971): Cyclical Analysis of Time Series: Procedures and Computer Programs. New York: NBER.

  • Chan-Lau, J. A. (2012): Do Dynamic Provisions Enhance Bank Solvency and Reduce Credit Procyclicality? A Study of the Chilean Banking System. International Monetary Fund Working Paper, WP/12/124.

  • Drehmann, M.Borio, C.Tsatsaronis, K. (2011): Anchoring Countercyclical Capital Buffers: The Role of Credit Aggregates. International Journal of Central Banking 7(4): 189240.

    • Search Google Scholar
    • Export Citation
  • Fernandez De Lis, S.Garcia-Herrero, A. (2009): The Spanish Approach: Dynamic Provisioning and Other Tools. BBVA Bank Working Paper 0903.

    • Search Google Scholar
    • Export Citation
  • Fernandez De Lis, S.Garcia-Herrero, A. (2010): Dynamic Provisions: Some Lessons from Existing Experiences. Asian Development Bank Institute Working Paper 218.

    • Search Google Scholar
    • Export Citation
  • Fidrmuc, J.Schreiber, P.Siddiqui, M. (2015): The Transmission of Bank Funding to Corporate Loans: Deleveraging in Germany. Open Economies Review 26(3): 581597.

    • Search Google Scholar
    • Export Citation
  • Fillat, J. L.Garriga, J. M. (2010): Addressing the pro-Cyclicality of Capital Requirements with a Dynamic Loan Loss Provision System. Working Paper no. QAU10-4, Federal Reserve Bank of Boston.

  • Frait, J. –Komárková, Z. (2009): Nástroje na tlumení výkyvu v úverové dynamice v prubehu hospodárského cyklu. Czech National Bank Financial Stability Report 70: 7281.

    • Search Google Scholar
    • Export Citation
  • Kashyap, A.Stein, J. (2004): Cyclical Implications of the Basel^IICapital Standards. Economic Perspectives 28(1): 1831.

  • Mann, F.Michael, I. (2002): Dynamic Provisioning: Issues and Application. Financial Stability Review. Bank of England, December 2002.

  • Osinski, J.Seal, K.Hoogduin, L. (2013): 7. IMF Staff Discussion Note, June 2013, SDN 13/05.

  • Pomenková, J.Maršálek, R. (2012): Time and Frequency Domain in the Business Cycle Structure. Agricultural Economics (AGRICECON) 58(7): 332346.

    • Search Google Scholar
    • Export Citation
  • Saurina, J. (2009): Loan Loss Provisions in Spain. A Working Macroprudential Tool. Bank of Spain Financial Stability Review 17: 1126.

    • Search Google Scholar
    • Export Citation
  • Saurina, J. (2011): Countercyclical Macroprudential Tools. National Institute Economic Review 216: R16.

  • Tarullo, D. K. (2012): Developing Tools for Dynamic Capital Supervision. Speech at the Federal Reserve Bank of Chicago Annual Risk Conference, Chicago, April 10.

    • Search Google Scholar
    • Export Citation
  • Wezel, T. (2010): Dynamic Loan Loss Provisions in Uruguay: Properties, Shock Absorption Capacity and Simulations Using Alternative Formulas. International Monetary Fund Working paper 10/125.

    • Search Google Scholar
    • Export Citation
  • Wooldridge, J. M. (2010): Solutions Manual and Supplementary Materials for Econometric Analysis of Cross Section and Panel Data. MIT Press Books.

    • Search Google Scholar
    • Export Citation