The financial system is inherently procyclical, as it amplifies the course of economic cycles, and precisely one of the factors that has been suggested to exacerbate this procyclicality is the Basel regulation on capital requirements. After the recent credit crisis, international regulators have turned their eyes to countercyclical regulation as a solution to avoid similar episodes in the future. Countercyclical regulation aims at preventing excessive risk taking during booms to reduce the impact of losses suffered during recessions, for example increasing the capital requirements during the good times to improve the resilience of financial institutions at the downturn. The Basel Committee has already moved forward towards the adoption of countercyclical measures on a global scale: the Basel III Accord, published in December 2010, revises considerably the capital requirement rules to reduce their procyclicality. These new countercyclical measures will not be completely implemented until 2019, so their impact cannot be evaluated yet, and it is a crucial question whether they will be effective in reducing procyclicality and the appearance of crisis episodes such as the one experienced in 2007-08. For this reason, we present in this article an agent-based model aimed at analysing the effect of two countercyclical mechanisms introduced in Basel III: the countercyclical buffer and the stressed VaR. In particular, we focus on the impact of these mechanisms on the procyclicality induced by market risk requirements and, more specifically, by value-at-risk models, as it is a issue of crucial importance that has received scant attention in the modeling literature. The simulation results suggest that the adoption of both of these countercyclical measures improves market stability and reduces the emergence of crisis episodes.

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巴塞尔协议三反周期措施对金融稳定性的影响：基于代理的模型

金融体系从本质上讲是顺周期的，因为它放大了经济周期的过程，而被建议加剧该顺周期性的因素之一就是对资本要求的巴塞尔法规。在最近的信贷危机之后，国际监管机构将目光转向了反周期监管，以此作为避免将来发生类似事件的解决方案。反周期监管旨在防止繁荣时期承担过多风险，以减少经济衰退期间遭受损失的影响，例如，在经济繁荣时期增加资本需求，以提高金融机构在低迷时期的弹性。巴塞尔委员会已经朝着在全球范围内采取反周期措施迈进：2010年12月发布的《巴塞尔协议III》，修改资本要求规则以减少其周期性。这些新的反周期措施要到2019年才能完全实施，因此它们的影响尚无法评估，这是一个关键问题，这些措施是否会有效减少顺周期性和危机事件的出现，例如2007-08年的经历。因此，我们在本文中介绍一个基于代理的模型，旨在分析在巴塞尔协议III中引入的两个反周期机制的作用：反周期缓冲区和应力VaR。特别是，我们关注这些机制对由市场风险要求（更具体地说，由风险价值模型）引起的顺周期性的影响，因为这是至关重要的问题，在建模文献中很少受到关注。