We are grateful to Cesaire Meh (Bank of Canada) and David Aikman (Bank of England) for providing the estimates for the USA/Canada and the UK presented in Section 5.1, and to Ryou Katou (Bank of Japan) for providing the results for Japan presented in Section 5.3. We thank Claudio Borio, Neil Esho and, in particular, the editor George Bratsiotis and three referees for very useful comments and suggestions. The views expressed in the paper are our own and do not necessarily reflect those of the institutions for which we work, the Basel Committee on Banking Supervision or the Financial Stability Board.
Basel III: Long-term Impact on Economic Performance and Fluctuations
Version of Record online: 24 APR 2014
© 2014 The University of Manchester and John Wiley & Sons Ltd
The Manchester School
Volume 83, Issue 2, pages 217–251, March 2015
How to Cite
Angelini, P., Clerc, L., Cúrdia, V., Gambacorta, L., Gerali, A., Locarno, A., Motto, R., Roeger, W., Van den Heuvel, S. and Vlček, J. (2015), Basel III: Long-term Impact on Economic Performance and Fluctuations. The Manchester School, 83: 217–251. doi: 10.1111/manc.12056
- Issue online: 21 JAN 2015
- Version of Record online: 24 APR 2014
- Manuscript Accepted: 19 FEB 2014
- Manuscript Received: 3 OCT 2012
Appendix S1. Additional information on the models and details on the individual exercises.
Part A. Additional information on the models used for the simulations.
Table a1. Main characteristics of the model developed in Gerali et al. (2010).
Table bf1. Effects of changes in the capital adequacy ratio on real output (deviations from baseline in percentage points).
Table bf2. Effects of liquidity and capital requirements on real output.
Table c1. Stochastic shocks.
Table ei1. Effects on standard deviations (compared with status quo).
Table ei2. Standard deviations (normalized by shock size).
Table h1. Properties and relative contribution to the volatility in output growth.
Part B. Details on the individual exercises.
Table B1. Steady-state output loss due to regulatory tightening.
Table B2. Change in output standard deviation due to regulatory tightening.
Table B3. Change in output standard deviation due to countercyclical capital buffers.
Table B4. Steady-state welfare loss due to regulatory tightening in terms of consumption equivalents: model-based measures.
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