Are risk weights of banks in the Czech Republic procyclical? Evidence from wavelet analysis
We analyze the cyclicality of risk weights of banks in the Czech Republic from 2008 to 2016. We differentiate between risk weights under the internal ratings-based and those under the standardized approach, consider the financial cycle, and employ wavelet coherence as a means of dynamic correlation...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2021-01-01
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| Series: | Journal of Central Banking Theory and Practice |
| Subjects: | |
| Online Access: | https://doi.org/10.2478/jcbtp-2021-0006 |