Volume 4, Number 5 (2019)
Year Launched: 2016
Journal Menu
Previous Issues
Why Us
-  Open Access
-  Peer-reviewed
-  Rapid publication
-  Lifetime hosting
-  Free indexing service
-  Free promotion service
-  More citations
-  Search engine friendly
Contact Us
Email:   service@scirea.org
Home > Journals > SCIREA Journal of Mathematics > Archive > Paper Information

Cyclical Behavior of Banks Capital and Countercyclical Buffer of Basel III: Empirical Study on Palestinian Banks

Volume 4, Issue 5, October 2019    |    PP. 115-125    |PDF (235 K)|    Pub. Date: August 19, 2019
40 Downloads     1136 Views  

Ahmed N. K. Alfarra, School of Management, Harbin Institute of Technology, Harbin, 150001, China
Hui Xiaofeng, School of Management, Harbin Institute of Technology, Harbin, 150001, China
Ehsan Chitsaz, School of Management, Harbin Institute of Technology, Harbin, 150001, China
Jaleel Ahmed, School of Management, Harbin Institute of Technology, Harbin, 150001, China

In this paper, we investigate the countercyclical buffer addressed in the Basel III framework. The ‘countercyclical buffer ‘targets at the extenuation of the supposedly harmful behavior of bank capital. The size of the buffer after the stepwise growths during the application stage finally reaches 2.5%. Therefore, the presented focus is on understanding to what extent does an increase in capital reserves affect the Palestinian economy. This paper uses examines mostly annual data by GDP as a deputation for the commercial cycle over the period 1996 – 2014. The analysis shows that the countercyclical buffer does not affect the Palestinian economy, which identifies a defining pro-cyclical behavior of Palestinian banks' capital.

Basel III, Business cycle, Capital buffer, Autoregressive Distributed Lag Model (ADL), Countercyclical buffer.

Cite this paper
Ahmed N. K. Alfarra, Hui Xiaofeng, Ehsan Chitsaz, Jaleel Ahmed, Cyclical Behavior of Banks Capital and Countercyclical Buffer of Basel III: Empirical Study on Palestinian Banks, SCIREA Journal of Mathematics. Vol. 4 , No. 5 , 2019 , pp. 115 - 125 .


[ 1 ] A. F. Rossignolo, M. D. Fethi, and M. Shaban, "Market crises and Basel capital requirements: Could Basel III have been different? Evidence from Portugal, Ireland, Greece and Spain (PIGS)," Journal of Banking & Finance, vol. 37, pp. 1323-1339, May 2013.
[ 2 ] A. Demirguc-Kunt, E. Detragiache, and O. Merrouche, "Bank Capital: Lessons from the Financial Crisis," Journal of Money Credit and Banking, vol. 45, pp. 1147-1164, Sep 2013.
[ 3 ] L. Morales and B. Andreosso-O'Callaghan, "The global financial crisis: World market or regional contagion effects?," International Review of Economics & Finance, vol. 29, pp. 108-131, Jan 2014.
[ 4 ] BCBS, "Basel III: A Global Regulatory Framework for more Resilient Banks and Banking Systems," Bank for International Settlements, December 2010 2011.
[ 5 ] J. Noh, "BASEL III Counterparty Risk and Credit Value Adjustment: Impact of the Wrongway Risk," Global Economic Review, vol. 42, pp. 346-361, Dec 2013.
[ 6 ] BCBS, "Progress report on Basel III implementation. Bank for International Settlements," Basel Committee on Banking Supervision, April 2012 2012.
[ 7 ] I. Tamas, "BASEL III: RETHINKING LIQUIDITY AND LEVERAGE," Ekonomska Istrazivanja-Economic Research, pp. 415-432, 2013.
[ 8 ] R. Repullo and J. Suarez, "The Procyclical Effects of Bank Capital Regulation," Review of Financial Studies, vol. 26, pp. 452-490, Feb 2013.
[ 9 ] I. J. Chen, "Financial crisis and the dynamics of corporate governance: Evidence from Taiwan's listed firms," International Review of Economics & Finance, vol. 32, pp. 3-28, Jul 2014.
[ 10 ] G. van Vuuren, "BASEL III COUNTERCYCLICAL CAPITAL RULES: IMPLICATIONS FOR SOUTH AFRICA," South African Journal of Economic and Management Sciences, vol. 15, pp. 309-324, 2012.
[ 11 ] B. De Waal, M. A. Petersen, L. N. P. Hlatshwayo, and J. Mukuddem-Petersen, "A note on Basel III and liquidity," Applied Economics Letters, vol. 20, pp. 777-780, May 2013.
[ 12 ] I. Drumond, "BANK CAPITAL REQUIREMENTS, BUSINESS CYCLE FLUCTUATIONS AND THE BASEL ACCORDS: A SYNTHESIS," Journal of Economic Surveys, vol. 23, pp. 798-830, Dec 2009.
[ 13 ] N. Yoshino and T. Hirano, "Pro-cyclicality of the Basel Capital Requirement Ratio and Its Impact on Banks," Asian Economic Papers, vol. 10, pp. 22-36, Sum 2011.
[ 14 ] P. Antao and A. Lacerda, "Capital requirements under the credit risk-based framework," Journal of Banking & Finance, vol. 35, pp. 1380-1390, Jun 2011.
[ 15 ] S. Grosse and E. Schumann, "Cyclical behavior of German banks' capital resources and the countercyclical buffer of Basel III," European Journal of Political Economy, vol. 34, pp. S40-S44, Jun 2014.
[ 16 ] N. Gatzert and H. Wesker, "A Comparative Assessment of Basel II/III and Solvency II," Geneva Papers on Risk and Insurance-Issues and Practice, vol. 37, pp. 539-570, Jul 2012.
[ 17 ] P. R. Agenor, K. Alper, and L. P. da Silva, "Capital Regulation, Monetary Policy, and Financial Stability," International Journal of Central Banking, vol. 9, pp. 193-238, Sep 2013.
[ 18 ] A. Guidara, V. S. Lai, L. Soumare, and F. T. Tchana, "Banks' capital buffer, risk and performance in the Canadian banking system: Impact of business cycles and regulatory changes," Journal of Banking & Finance, vol. 37, pp. 3373-3387, Sep 2013.
[ 19 ] A. G. Christopoulos, J. Mylonakis, and P. Diktapanidis, "Could Lehman Brothers’ Collapse Be Anticipated? An Examination Using CAMELS Rating System," International Business Research, vol. 4, 2011.
[ 20 ] S. M. Yang and J. Y. Zhao, Study on Commercial Banks Credit Risk Based on AGA and Camel Rating System, 2009.
[ 21 ] E. I. ALTMAN, "Effects of the New Basel Capital Accord on Bank Capital Requirements," Journal of Financial Services Research, 2005.
[ 22 ] M. A. Geiger, K. Raghunandan, and W. Riccardi, "The Global Financial Crisis: US Bankruptcies and Going-Concern Audit Opinions," Accounting Horizons, vol. 28, pp. 59-75, Mar 2014.
[ 23 ] S. a. E. S. D. o. R. Banks, "Camels Rating System," 1999.
[ 24 ] I. Angeloni and E. Faia, "Capital regulation and monetary policy with fragile banks," Journal of Monetary Economics, vol. 60, pp. 311-324, Apr 2013.
[ 25 ] J. C. A. Teixeira, F. J. F. Silva, A. V. Fernandes, and A. C. G. Alves, "Banks' capital, regulation and the financial crisis," North American Journal of Economics and Finance, vol. 28, pp. 33-58, Apr 2014.
[ 26 ] M. S. Ebrahim, S. Girma, M. E. Shah, and J. Williams, "Dynamic capital structure and political patronage: The case of Malaysia," International Review of Financial Analysis, vol. 31, pp. 117-128, Jan 2014.

Submit A Manuscript
Review Manuscripts
Join As An Editorial Member
Most Views
by Sergey M. Afonin
2935 Downloads 40128 Views
by Syed Adil Hussain, Taha Hasan Associate Professor
2295 Downloads 19056 Views
by Omprakash Sikhwal, Yashwant Vyas
2366 Downloads 15995 Views
by Munmun Nath, Bijan Nath, Santanu Roy
2263 Downloads 15916 Views
Upcoming Conferences