Are bank capital ratios pro-cyclical? New evidence and perspectives
分析了巴塞尔III杠杆率和风险加权资本比率在经济周期中的表现，发现杠杆率比风险加权资本比率更具逆周期性，在繁荣期约束更强、衰退期更宽松。
This paper analyses how the new Basel III leverage ratio and risk-weighted regulatory capital ratio behave over the cycle. The analysis proposes a set-up to test for the cyclical properties of bank capital ratios, taking into account structural shifts in banks’ behaviour during the global financial crisis and its aftermath. Using a large data set covering international banks headquartered in 14 advanced economies for the period 1994–2012, we find that the Basel III leverage ratio is significantly more countercyclical than the risk-weighted regulatory capital ratio: it is a tighter constraint for banks in booms and a looser constraint in recessions.