This paper examines the procyclical effect of risk-sensitive capital regulation on bank lending. We find evidence that the sensitivity of bank lending to GDP is significantly positive under the internal rating-based approach. Our findings show that the risk-sensitive requirements of the Basel II and III regulations have procyclical effects on bank lending in nine European countries. The introduction of the risk-sensitive capital requirement rule negatively impacts lending in these countries. The policy implication is that regulators should place greater priority on building a buffer in advance, which can be used in times of stress rather than for dampening excess cyclicality.

本文考察了风险敏感资本监管对银行贷款的顺周期效应。我们发现有证据表明，在基于内部评级的方法下，银行贷款对 GDP 的敏感性显着为正。我们的研究结果表明，巴塞尔协议 II 和 III 的风险敏感要求对九个欧洲国家的银行贷款具有顺周期影响。引入风险敏感资本要求规则对这些国家的贷款产生负面影响。政策含义是，监管机构应更加重视提前建立缓冲，这可以用于压力时期，而不是抑制过度的周期性。