Improvement on the Mitigation Mechanism for Basel-IIProcyclicality
指出Michael B.Cordy和Rafael Repullo设计的缓解机制缺陷，提出改进机制，讨论H-P滤波平滑参数选择并加入相关系数作为缓解效果指标，用中国经济数据验证改进机制更有效缓解巴塞尔协议II顺周期性。
Designing mitigation mechanism is the core issue to solve the procyclicality problem.In this paper, the authors point out the lacks of Michael B.Cordy' and Rafael Repullo's design on mitigation mechanism.And then,the authors substantially improve their mitigation mechanism and proposed a new mitigation mechanism. The paper also deeply discuss the choosing of smoothing parameter for H-P filter and add a correlation coefficient as one indicator for mitigation effects judgment Finally,the authors use China's economic data to empirically analyze the mitigation mechanism they improved.The empirical results show that the improved mitigation mechanism can mitigate Basel-Ⅱprocyclicality more effectively.