A Study on Countercyclical Capital Buffer Based on BASEL III : Using the Taiwan Price Weight Index as an example

• Main Authors: Chiao-Ju Huang, 黃巧汝
• Other Authors: Tzu-Ping Ho
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/62495312487258085256

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 100 === This study discusses how to operate Countercyclical Capital Buffer which is delivered by Basel Committee on Banking Supervision at December, 16, 2010. Then, using the Taiwan Price Weight Index from January, 1986 to April,2012 to estimate Taiwan Price Weight Index gap with Hodrick-Prescott filter, in order to analysis if when macro economic crisis happens, the banks in Taiwan can use the variable to forecast credit expansion and raise Countercyclical Capital Buffer. Empirical results show that using the variable of Taiwan Price Weight Index gap can forecast the period of credit expansion and time to appropriate Countercyclical Capital Buffer. However, the effect of the variable to stop appropriating Countercyclical Capital Buffer is not good. Although Taiwan Price Weight Index gap has the ability to forecast macro economic crisis, but the follow up pursuer has to continue the consistent research of the variable of stopping appropriate Countercyclical Capital Buffer. Therefore, in order to let the macro-prudential regulation function give full play, Countercyclical Capital Buffer is an important policy to help financial industry in Taiwan sustained develops steadily.