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1、MITIGATINGTHEPROCYCLICALITYOFBASELII*RafaelRepulloCEMFIandCEPRJesúsSaurinaBancodeEspañaCarlosTrucharteBancodeEspañaJuly2009AbstractThispapercomparesalternativeprocedurestomitigatetheprocyclicalityofthenewrisk-sensitivebankcapitalregulation(BaselII).Weestimateamodeloftheprobabilitiesofdefault(PDs)ofS
2、panishfirmsduringtheperiod1987-2008,andusetheestimatedPDstocomputethecorrespondingseriesofBaselIIcapitalrequirementsperunitofloans.Theserequirementsmovesignificantlyalongthebusinesscycle,rangingfrom7.6%(in2006)to11.9%(in1993).Thecomparisonofthedifferentproceduresisbasedonthecriterionofminimizingther
3、ootmeansquaredeviationsofeachsmoothedserieswithrespecttotheHodrick-Prescotttrendoftheoriginalseries.TheresultsshowthatthebestproceduresareeithertosmooththeinputsoftheBaselIIformulabyusingthrough-the-cyclePDsortosmooththeoutputwithamultiplierbasedonGDPgrowth.Ourdiscussionconcludesthatthelatterisbette
4、rintermsofsimplicity,transparency,andconsistencywithbanks’riskpricingandriskmanagementsystems.FortheportfolioofSpanishcommercialandindustrialloansanda45%lossgivendefault(LGD),themultiplierwouldamounttoa6.5%surchargeforeachstandarddeviationinGDPgrowth.Thesurchargewouldbesignificantlyhigherwithcyclica
5、lly-varyingLGDs.Keywords:Bankcapitalregulation,BaselII,Procyclicality,Businesscycles,Creditcrunch.JELcodes:E32,G28.*TheviewsexpressedinthispaperarethoseoftheauthorsandshouldnotbeattributedtotheBancodeEspañaortheEurosystem.WethankthecommentsofAntonellaFoglia,LeonardoGambacorta,MichaelGordy,CharlesGoo
6、dhartDianaHancock,PatriciaJackson,JavierMencía,andGeoffreyMiller,seminaraudiencesatBancad’Italia,BanquedeFrance,andtheFederalReserveBankofBoston,andparticipantsattheCEPR2009Conferenceon“FinancialRegulationandMacroeconomicStability”andtheBocconi2009FinlawmetricsConference.FinancialsupportfromtheSpani
7、shMinistryofScienceofInnovation(GrantNo.EC2008-00801)isgratefullyacknowledged.1.IntroductionThe1988BaselAccordconsolidatedcapitalrequirementsasthecornerstoneofbankregulation.Itrequiredbankstoholdamini
