경기대응완충자본 제도의 국내도입 방안에 관한 연구

초록

Basel III introduces countercyclical capital buffers as a macroprudential tool to protect banking system from the increase in systemic risk. This paper attempts to provide some practical guidance on operating countercyclical capital buffers in Korea. The statistical evidence presented in the paper indicates that the credit-to-GDP gap performs well, but the household debt-to-disposable income gap seems to have incremental information as a conditioning variable for the build-up phase. Nevertheless, some degree of judgment in buffer decision is inevitable, particularly in the release phase. It is recommended that the countercyclical capital buffers are jointly operated by the regulatory authority and the central bank.

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