Angelini, Paolo; Enria, Andrea; Neri, Stefano; Panetta, … - Banca d'Italia - 2010
We use a macroeconomic euro area model with a bank sector to study the pro-cyclical effect of the capital regulation, focusing on the extra pro-cyclicality induced by Basel II over Basel I. Our results suggest that this incremental effect is modest. We also find that regulators could offset the...