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The pro-cyclicality of risk weights for credit exposures: Driven by the retail segment
Economic Systems ( IF 2.8 ) Pub Date : 2021-02-01 , DOI: 10.1016/j.ecosys.2020.100763
Simona Malovaná

This paper examines the pro-cyclicality of implicit risk weights of credit exposures and the potential contribution of accommodative monetary policy using data for the Czech Republic. The empirical results indicate that risk weights behave pro-cyclically under the IRB approach and acyclically under the STA approach. The pro-cyclical behaviour of IRB risk weights is caused primarily by the retail exposures, the strongest effects being in the highest and lowest quantiles of risk weights. The risk weights for retail exposures behave pro-cyclically not only with regard to the business cycle, but also with respect to the financial cycle and house price growth. In addition, monetary policy easing contributes to the pro-cyclicality in higher quantiles of risk weights.



中文翻译:

信用敞口风险权重的顺周期性:由零售部门驱动

本文使用捷克共和国的数据检验了信用风险隐性风险权重的顺周期性和宽松货币政策的潜在贡献。实证结果表明,在IRB方法下风险权重呈周期性,而在STA方法下风险权重呈非周期性。IRB风险权重的顺周期行为主要是由零售敞口引起的,影响最大的是风险权重的最高和最低分位数。零售敞口的风险权重不仅在商业周期方面呈周期性变化,而且在金融周期和房价增长方面也呈周期性变化。另外,宽松的货币政策有助于风险权重较高的顺周期性。

更新日期:2021-03-16
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