ࠬᎈ၍ଣ̨ᝄήਜვБุҤృᐑ༟͉ᇠላڋઞA Preliminary Study on the Countercyclical Capital Buffer of the Taiwan’s Banking Sector؍ᠸ؏āͭ݁طɽኪৌ၍ӻ௹ɻࡉ፯ɛ ۃږ၍ึვБ҅ɓଡ଼Ӻࡰ͉˖ʧୗˋ෦ဧვБ္ଣ։ࡰึ(BCBS)2010ϋ12˜16˚ה೯̺ٙBasel IIIdʿՉʕٙҤృᐑ༟͉ᇠላ(Countercyclical Capital Buffer)ʘ༶ЪዚՓf್ܝd͉˖Դ͜Ң1962ϋୋɓ֙Ї2010ϋୋɓ֙ʘᐼΥબڦʿʫ͛ପˣᕘ༟ࣘdʱ̨ؓᝄږፄӻٙڦ͜ϓڗًرdഐ؈೯ତjҢږፄӻڦ͜ᓒੵ௰Ԙe௰ცࠅᅡҤృᐑ༟͉ᇠላٙࣛග݊อვБɽඎϓͭٙ1992ϋකdЇၣ༩ظث೯͛ۃٙ1999ϋމ˟f࿁1995 ~ 1996ϋεਿᄴږፄዚᚃ೯͛Ꮪгਪᕚe1998ϋ̈ତ͉ɺۨږፄࠬᅳd˸ʿ2001ϋ͉ვБགྷ׳ˢ൴ཀ10%̨ٙᝄږፄӻΚዚԫd̙ԈҤృᐑ༟͉ᇠላ࿁̨ᝄٙږፄӻࠬᎈՈϞɓ֛ٙཫঐɢf̥݊d߰ࠅཫԣ2005ϋٙᕐ̔ࠬᅳၾ2008ϋٙږፄऎᄟdۆᒔცႾ˸Չ̴္ଣዚՓdԷν০࿁ڦุ̔͜ਕ̤̮ӺΥቇܸٙᅺdא݊ீཀ༨္ଣΥЪ̋੶࿁ڦ͜ϓڗًرٙᐝ༆fΪϤdܔᙄܝᚃ̙ఱՉᗫᙄᕚਂһආɓӉٙӺfBasel IIIᔊʧ௰ڐϋίϣ൲ࠬᅳeږፄऎᄟഃږፄΚΎܓ೯͛f˸ყၑვБᒍɨٙˋ෦ဧვዚԫٙໍ߿ɨdΌଢቊաᘌࠠላᏘϾБ္ଣ։ࡰึ ( Basel Committee on Banking ɝসৗfϞᛠϤdყ࿆ਿږSupervisiond˸ɨᔊ၈BCBS ) މԷdఱҪ ( IMF ) eყၑვБ္ଣࠠːཀ̘̥ഹࠠࡈйږፄዚdආɓ (BIS ) e˰ޢვБ ( World Bank ) nഃყዚॸॸකᏨী݅Ϟٙږፄ္ຖ၍ଣӉᓒ࢝ՑࡈږፄӻdಂૐঐίᐼᄲዚՓdҎૐঐ٧͍ཀֻٙॹ̰dཫԣږፄࠬᅳฐ ( macro-prudential ) ္ଣ˙جٙпɨdږፄᑌΥᅄڦᕐ˜̊ɤɖಂ11 ୋ
ࠬᎈ၍ଣ1 Ѽቇ၍ଣږፄӻࠬᎈ ( systemic risk ) dဧ৷ࢤึஷཀܝdϓމ௰อوٙˋ෦ဧ֛˸༺Ցږፄᖢ֛ٙͦᅺfķķBasel III ( BCBS, 2010a )d2010ϋ12˜16˚͍όʮбd௪ɨΐɧࡈ˙ΣԸ੶ʷვఱBCBSϾԊdʔሞ݊1988ϋהપ̈ٙБ္ଣjˋ෦ဧ༟͉֛dᒔ݊ཀεϋীሞ༊ၑeί2006ϋ֛وeܔᙄึࡰ2007ϋ1. ኬɝΌଢɓߧٙݴਗᇍdܼ̍ݴྼ݄ٙอˋ෦ဧ༟͉֛( ˸ɨᔊ၈ਗႊˢଟ ( liquidity coverage ratio, Basel 2 LCR ) ၾଋᖢ֛༟ږˢଟ ( net stable II )dே݊০࿁ࡈйږፄዚהணࠇٙყfunding ratio, NSFR ) d˸п፬ᗆeვБʘ༟͉ቇԑᇍf್ϾdவɓቃٙږፄࠬʱؓࡈйვБʿࡈږፄӻٙݴਗᅳѓൡҢࡁjBasel IIᒱ್̙˸ˏኬვБ̋੶ࠬࠬᎈᒈැdԨၾBCBS2008ϋ9˜הᎈ၍ଣdШԨʔԑ˸ᆽڭࡈږፄӻٙᖢ֛೯̺ٙݴਗࠬᎈ၍ଣၾ္ଣࡡۆၾτΌiˈՉ݊dՈ௪ࠬᎈઽชܓٙBasel IIආ( Principles for Sound Liquidity Risk ච༟͉ࠇ˙جdˀϾᜫვБίږፄࠬᅳಂගManagement and Supervision ) Ⴞࠦᑗһɽٙ༟͉ࠢՓdԴՉڠ˂ϗ௮ٙБϓd˸੶ʷვБӻٙݴਗ၍ଣfމһ̋ᜑdɰᜫًرɪ̋ᒲeһҖెʷf2. ˏආˢଟ ( leverage ratio)dࠢՓვБٙ౷ஷٰᛆूୋɓᗳ༟މࠥЭவ၇න౻ंృᐑ( procyclicality ) ͉ ( Common Equity Tier 1d˸ɨᔊ၈ࣖ؈dBCBSৰ2009ϋ7˜೯̺Basel IICET1 ) ̀৷Չᅳᎈᕘʘ3%dਂމ̋੶و( BCBS, 2009b )dٜટίBasel IIٙ˸ࠬᎈމਿᓾʘ༟͉ቇԑᇍٙႾпણɧɽ˕ݒݖɨආБ༟͉ࠇᇍٙࡌ͍i݄d˸ᒒеვБӻٙཀܓfᒔ2009ϋ12˜Υධږፄ္ଣҷࠧᙄᕚ3. ০࿁ɨΐɧɽᙄᕚԸࡌҷ༟͉ቇԑᇍjʘীሞഐ؈d೯̺੶ʷვБژᖢ( Strengthening the Resilience of the Banking ( 1 ) ࠠอ່֛ᗳ༟͉jSector ) ٙፔ༔˖ ( BCBS, 2009a )fவ΅˖h՟ऊୋɧᗳ༟͉dԨᆽܸ̈jୋίਞޢจԈආБࡌ͍ၾ༊ၑdԨG20ɓᗳ༟͉ڷίვБܵᚃᐄ ( going-1 Systemic riskၾɓছৌਕ၍ଣאҳ༟ኪʕהՑٙӻ୕ࠬᎈ(Systematic risk)ʔΝdܸ݊ӻʫ೯͛Κዚٙࠬᎈf͟ږፄӻίٟึٙ༶ЪɪҲစഹࠠࠅԉЍdɓ͇೯͛ਪᕚdܘ̙ঐึਗ਼ΚዚෂݑഗՉ̴ژdϾ࿁ٟึிϓᘌࠠላᏘdΪϤdɓছ੬͜ϤΤ൚Ըઞীږፄӻܼ̍ږፄ̹ఙʿږፄዚ೯͛ࠬᎈԫ̙ٙঐʿՉᘌࠠܓf݂݊dί͉˖ʕdڷਗ਼systemic riskɓ൚ᔕᙇϓږፄӻࠬᎈd˸ধਜйf2 BCBSͦۃϞ27ࡈϓࡰdШί2007ϋྼ݄Basel IIࣛdึࡰස13ࡈjˢлࣛe̋ࣅɽeجeᅃe່ɽлe˚͉eጅಌఝeஃᚆeГफ˫eՊeɻeߵeߕfίږፄऎᄟ೯͛ܝd2009ϋ3˜̋ɝ7ࡈjዦɽлԭeˋГeʕeΙܓeیᒵeኈГࡩeڶᖯi2009ϋ6˜dΎҪึࡰᓒʿڛ࣬ҒeΙ̵eӍढήڛזЬeیڢeɺЀՉdԨᒗሗ࠰ಥၾอ̋ս̋ɝd˸ಂঐ੶ʷΌଢٙვБ္ଣྼਕʿᅺf12ږፄᑌΥᅄڦᕐ˜̊ ୋɤɖಂ
ࠬᎈ၍ଣconcern ) ࣛ͜˸іϗฦ̰ʘ༟͉ ࿁ʹᖤʿᗇՎʷӞ༟͉ࠇ3 iୋɚᗳ༟͉ۆᏐίვБၑཀอᇍfϤϣٙBasel IIIۆఱɨΐᙄ ( gone-concern ) ʕՈ௪іϗฦ̰ᕚආБஈଣjʘঐɢfh০࿁ვБίֳ᎘(OTC)̹ఙʹࠃhމ੶ሜ౷ஷٰᛆूeڭवޮቱʿୋ͛ਠۜהΪϾוዄٙʹ࿁ɓᗳ༟͉ ( Tier 1 capital ) ʘࠠࠅ˓ڦࠬ͜ᎈ ( counterparty credit dৰ̤CET1ၾୋɓᗳ༟͉risk ) ᄣ̋ᇍd˸੶ʷࠬᎈ၍Ꮠʱй৷ࠬᎈ༟ପᕘʘ%ၾଣdԨˏኬვБҷމீཀණʕٙʹ6%ٙอᇍ̮dԨ࿁̙ΐɝୋ࿁˓ԸආБᗳЧʹdࡏпࠥɓᗳאୋɚᗳ༟͉ٙ౷ஷٰᛆूeЭږፄӻٙၣഖࠬᎈ ( network 4 तйٰeϣනЗවՎeאՉ̴௴อrisk ) fٙ૿Υ༟͉ʈՈ ( Էν̙ᔷ౬වhމಯჀBasel IIݖ࿁̮ڦ൙Վ )dਂ̈һމᘌࣸϾᆽʘᇍdٙԱ፠dޑ০࿁̮ڦ͜൙Пዚ˸ಂঐ༟͉ٙۜሯeɓߧʿ ( external credit assessment ீܓfinstitution ) ٙΥࣸᅺd˸ʿ൙ഃhʱචݬኬɝ ( phase-in ) อ༟͉֛ഐ؈ٙԴ͜ࡌҷᗫᇍf່d˸ࠥЭ࿁ვБʘላᏘf( 3 ) ˏආՇ၇ᗳۨٙ༟͉ᇠላԸࠥЭ༟͉5 ( 2 ) ੶ʷ༟͉ݖٙࠬᎈႊᇍఖjᇍʘන౻ंృᐑतjί2009ϋ7˜೯̺ٙBasel II̋੶hڭव༟͉ᇠላ(capital conservation و( BCBS, 2009b ) ʕdBCBSʊ০buffer) jϤ༟͉ᇠላ˴ࠅίᜫვБ3 ίBasel II̋੶وʕd০࿁ʹᖤʿᗇՎʷЗהࡌҷeཫ֛2010ϋֵۃකྼ݄ٙอ֛˴ࠅܼ̍j(i) ࿁ࠠልᗇՎʷʘᅳᎈЗ(re-securitised exposure)৷ՉᏐࠇʘ༟͉f(ii) ί̹ఙࠬᎈʫᅼۨج(IMA)ʕdᄣ̋Ꮐɢࠬᎈ࠽(stressed value-at-risk)ʘ༟͉ცӋf(iii) ࿁૧Դ͜IMAԸࠇлଟၾᛆूᗇՎʘࡈйࠬᎈ(specific risk)הც༟͉ٙვБd༉ࠑՉהᏐୌΥٙᕘ̮Ꮠ༟͉(incremental risk charge, IRC)ᗫᇍf4ၣഖࠬᎈ(network risk)ڷܸΪމږፄዚගϞΝᅳᎈאʝஹഐdኬߧίत֛ࣛᓃ೯͛ږፄዚஹᕁࡀௐٙࠬᎈd݊ӻࠬᎈٙՇ၇Җόʘɓf5 މࠥЭන౻ंృᐑतdৰə༟͉ᇠላʘ̮dBCBSᒔਗ਼০࿁ɨΐሙᕚਂආɓӉٙᙄj(i) ࠥЭ௰Э༟͉ცӋٙృᐑj˴ࠅ০࿁ڦࠬ͜ᎈʫ൙ഃج(IRB)dীሞᏐ˸О၇˙جПࠇධਞᅰԷν༼ߒዚଟ(probability of default, PD)Դ͜ڗಂ̻ѩ༼ߒଟe༼ߒฦ̰ଟ(loss given default, LGD)Դ͜౻ंসৗɨٙฦ̰ଟdא݊Չ̴ٙПࠇ˙جdʑঐ༰λήಯჀ౻ंృᐑה੭Ըٙتਗᜊʷf(ii)Դ͜Ոۃᓼ(forward-looking)ٙ˙جԸΐฦ̰௪(loss provision)jBCBS੶ɢ˕ܵყึࠇۆ։ࡰึ(International Accounting Standards Board, IASB)הࡇᙄٙ˸ཫಂฦ̰ج(expected loss approach)՟˾ʊ೯͛ฦ̰ج(incurred loss approach)dԸҷഛӔഄٙϞࣖʿৌਕజڌٙҹᗫiΪϤdBCBSᏝһอՉ္ଣܸˏd˸کп္ଣɛࡰл͜ཫಂฦ̰جԸ੶ʷვБٙฦ̰௪ᅡ˙όfږፄᑌΥᅄڦᕐ˜̊13 ୋɤɖಂ
ࠬᎈ၍ଣ˸ڭवИԑٙ༟͉d˸ΪᏐᇠላʘ฿ׂ˸ʿл̨͜ᝄ༟ࣘආБ༊ၑʘഐᏀɢಂගʘהცfˈՉ݊ࠅᒒеვ؈d˸ਂމ˴၍ዚᗫˏආᗫᇍࣛʘਞϽfБίΚዚಂගdᒔ࿓ή˸೯׳ٰટɨԸd͉˖ਗ਼ίୋɚʱ০࿁Ҥృᐑ༟͉ᇠлeࡰʈߎлdא൯Ϋࢫᔛٰഃላٙ༶ЪዚՓਂɓɽߧʧୗdୋɧʱႭ˙όਗ਼༟͉ ( אڭवޮቱ ) ʱৣ͉̈˖ԱBCBS ( 2010b ) הආБٙ༊ၑཀၾഐ̘dϾ࿁ږፄӻٙᖢ֛Όிϓ؈d௰ܝίୋ̬ʱᓥॶ̈ഐሞf⣵ෆfhҤృᐑ༟͉ᇠላ ( countercyclical Basel IIIʕٙҤృᐑ༟͉ᇠላcapital buffer ) jཀܓٙڦ͜ϓڗ̙ڭव༟͉ᇠላၾҤృᐑ༟͉ᇠঐึிϓვБژٙʔᖢ֛dΪϤላே݊ݖਿί௰Э༟͉ცӋʘɪd̤̮ڭवBCBS࣬ኽږፄΚዚཫᙆܸᅺٙɨԸd͜˸іϗვБᏀɢಂගʘฦ̰dᆽڭᗫӺഐ؈d೯࢝̈ɓࡈՈٙҤვБίᏀɢಂගʥঐୌΥୋɓ˕ݒ௰Э༟͉ცృᐑ༟͉ᇠላዚՓd̙ί೯ତڦ͜ӋᇍeܵᚃԶږፄਕٙ༟͉ᇠላfΪϞཀܓϓڗٙ༦ࣛdਗ࿒ሜ༟Ϥdɚ٫ՈϞᗳЧٙ༶Ъ˙όi˴ࠅٙࢨй̥͉ᇠላٙᇍఖਜගd˸ڮආږፄᖢίjۃ٫ڷࠬᎈ༟ପᕘ ( risk weighted ֛fassets, RWA )ʘո֛ˢԷ ( Basel IIIʕணމɪࠑவԬણ݄dBCBSӔ֛˸ʱචݬྼ% ) ٙ༟͉ᇠላdϾ˲ԨӚϞतй̴ܸ݄̈ٙ˙όӉኬɝdཫࠇՑ2019ϋʑึҁ݊০࿁О٫הண֛ٙ༟͉ᇠላiЇܝ٫dۆΌྼ݄fϾՉʕdҤృᐑ༟͉ᇠላ̙Ⴍ݊तй০࿁ཀܓڦ͜ϓڗٙਪᕚהண֛e݊௰މतࣿٙɓධᙄᕚdʔසΪމ̴ٙ೯ึਗ࿒ሜٙ༟͉ᇠላdͦٙ݊ࠅίృᐑ৷ࢤ࢝ࣛ༰މໝܝd2010ϋ7˜16˚ʑܓ೯ࣛ ( א္ଣɛࡰԱՉʫًرԴ͜Չ̴ܸᅺה̺BCBS( 2010c ) ٙҤృᐑ༟͉ᇠላࣩႩ֛ٙΥቇಂග ) ҵՓڦٙ͜ཀܓϓڗdܵޮ( Countercyclical Capital Buffer Proposal )ڭइdڭवቇܓ༟͉সৗࣛԴ͜dኽ˸࿁Ҥፔ༔˖dࡈᇍՑ2010ϋϋֵʑί౻ंאڦٙ͜ృᐑتਗdڮආږፄᖢ֛fBCBS( 2010b ) ʕ͍ό֛ࣩiһΪ̴݊Basel IIIה္̈ٙଣણ݄ʕd௰ՈᐼᄲฐतЍٙɓ( ɓ ) ڭव༟͉ᇠላٙ༶Ъ˙όධᇍf࿁ᆞBasel IIࡈ္ଣᅼόٙ࣬ኽBCBS( 2010a )dڭव༟͉ᇠ္ଣዚᗫϾԊdவ၇ਗ਼္ଣࠠː׳ίࡈږፄላၾୋɓ˕ݒٙ௰Э༟͉ცӋʔΝd̴Ԩʔӻٙ࿃อਂجdැ̀ึ੭ԸɓԬମཀֻٙ݊ᕘ̮ٙ༟͉ცӋᇍdϾ݊ணࠇԸᜫვБίอܿfӻ̈ତᜑসৗࣛdʥঐၪܵቇԑ༟͉dԨΪϤd͉˖ͦٙуίʧୗҤృᐑ༟͉ᒒеՉл͜೯׳ٰлeࡰʈߎлא൯Ϋࢫᔛٰ14ږፄᑌΥᅄڦᕐ˜̊ ୋɤɖಂ
ࠬᎈ၍ଣഃ˙όdਗ਼༟͉ʱৣદٙɓࢁዚՓf͡Ԋʘdගٙ36% ( = %Ó% ) dϤ࠽ʧ25%~ ίอ֛ʕdΥࣸ༟͉̍ўୋɓᗳձୋɚᗳ༟50%ʘගdה˸Ꮠਗ਼ޮቱ ( earnings ) ٙ80%ڭ͉iCET1eୋɓᗳ༟͉eᐼ༟͉ٙቇԑଟवɨԸdɰఱ݊Ⴍdίʔ̤̮̂༟͉ٙઋرʱйЭ%e6%e8%ࣛdึൖމ༟͉ɨd௰ε̥ঐਗ͜20%ٙޮቱਂމ೯׳ٰлeʔԑdϾίุਕᐄɪաՑһᘌ္ࣸٙ၍ၾࠢࡰʈߎлא൯Ϋࢫᔛٰʘ͜fՓfЇ༟͉ᇠላdۆ̥ऒʿ௰Ոฦ̰іϗঐ( ɚ ) Ҥృᐑ༟͉ᇠላٙ༶Ъ˙όɢٙCET1 ( ܼ̍౷ஷٰٰ͉eڭवޮቱe͟1. ࡈйვБʘ༟͉ᇠላᇍ౷ஷٰהପ͛ٙʮጐږഃd༉ᇍሗਞቡBCBS ( 2010a )i༟͉ᇠላ͊൴ཀה֛ٙ༟ЇҤృᐑ༟͉ᇠላd༰ڭव͉ڭवਜග ( capital conservation range ) ࣛd༟͉ᇠላd̴௰ɽٙतЍίjՉ༟͉ڭव̥Ϟޮቱא༟͉ٙʱৣึաՑ௰Э༟͉ڭवˢਜගึᎇഹڦ͜ϓڗًٙرϾਂਗ࿒ሜfԷ ( minimum capital conservation ratio ) ٙࠢڦ͜ϓڗܓཀҞࣛdމࠥЭཀܓᓒੵ̙ٙঐՓd࿁ุਕᐄԨೌٜટᅂᚤfdԨڭवቇܓ༟͉މ͊Ըٙসৗਂ௪dҤృᐑ༟͉ᇠላ௰৷̙ঐண֛މࠬᎈ༟ପᕘٙᑘԷԸႭdვБCET1ٙ௰Э༟͉ცӋ%iϾڦً͜رসৗࣛdމ༶͜༟͉ᇠላ݊ࠬᎈ༟ପᕘٙ%dڭव༟͉ᇠላ݊ࠬԸіϗฦ̰d݂ϤࣛҤృᐑ༟͉ᇠላ̙ঐࠥϓᎈ༟ପᕘٙ% ( ͵уd༟͉ڭवਜගண֛௰Эٙ0%fމ% ) ࣛd࣬ኽڌɓd߰ვБٙCET1ˢଟ݊%dۆ̴ٙ༟͉ʱৣʔึաՑࠢՓfШਗ਼வᅵٙҤృᐑ༟͉ᇠላΥආۃɓືՉCET1ˢଟᜊϓ݊%ࣛdۆΪՉ༟͉൴ཀהᑘٙᇍԷʕdۆCET1ˢଟၪܵί%ٙვ௰Э༟͉ცӋٙʱމ%dЦ༟͉ڭवਜБdί౻ंসৗࣛᒱ್ʥՈϞ̂ԑ༟͉dޮڌɓ ࡈйვБٙ௰Э༟͉ڭवᅺვБCET1൴ཀ௰Э༟͉ცӋʘږᕘ௰Э༟͉ڭवˢԷЦ༟͉ڭवਜගʘˢԷ ( ޮቱʔʱৣ̘̈ʘˢԷ ) <25%100%25% ~ 50%80%50% ~ 75%60%75% ~ 100%40%> 100%0%༟ࣘԸ๕jBCBS ( 2010a ) dୋ59ࠫfږፄᑌΥᅄڦᕐ˜̊ɖಂ15 ୋɤ
ࠬᎈ၍ଣቱʱৣʔึաՑࠢՓ ( ̥̙݊ঐࣅԸіϗฦᗫfШ༰ৎԸdږፄΚዚԫˢ༰Ӽ̰)iШν؈݊ίڦ͜ཀܓᓒੵeቇ͜%ҤԈdШ࿁ڦ͜ၾ༟ପᄆࣸϞ༰ڗ˲༰ɽٙృᐑ༟͉ᇠላٙࣛಂd͟Ϥࣛࡈ༟͉ڭवృᐑتਗࣖ؈fਜගᜊϓ5% ( =%ٙڭव༟͉ᇠላ+%hڦ͜ᗫٙᜊᅰϞʔ፹ٙڌତfˈՉٙҤృᐑ༟͉ᇠላ)dה˸dՉ༟͉൴ཀ௰Э༟݊બڦЦʫ͛ପˣᕘʘˢԷ ( ˸ɨᔊ͉ცӋٙʱ ( %=%–% ) Ц༟͉ڭव၈credit/GDP ) dʔසঐίɽ΅ٙږਜග (5%) ٙˢԷуᜊϓ62% ( =% Ó 5%)dፄΚዚ೯͛ۃ̻ᖢήɪʺՑڗಂᒈැٙɪʧ50%~75%ʘගd࣬ኽڌɓd༈ვБცਗ਼˙dԶᆽٙৃၾԄλٙཫࣖ؈dޮቱٙ60%ڭवɨԸfʔཀdމᒒе̹ఙਗ਼Ϥ˲ΪՉʊৰ˸GDPdᒔ̙ࠥЭᅼ֛፹Ⴌ༆ᛘމอٙ௰Э༟͉ცӋdίBasel ၾ֙ືتਗה੭ԸٙᅂᚤfIIIʕतйഗʚვБ12ࡈ˜ٙᄱࠢಂd̥ࠅ༈ვhʔਗପၾٰୃᄆࣸᒱ್ɰঐ͜Ըਈڦ͜Бঐίவ12ࡈ˜ʫீཀڭवޮቱe৷༟͉eٙཀܓϓڗdШ̴͟ࡁ̙ঐίږፄΚዚᐵಯ׳ಛഃ˙όd˿ՉCET1ˢଟΫూՑ%೯͛ʘۃdܘϘఱΫՑڗಂᒈැڝڐdኬ˸ɪdఱ̙˸еৰɪࠑٙ༟͉ʱৣࠢՓfߧ༟͉ᇠላ˄Ϙᙑ̈dה˸ˢ༰ቇΥ͜Ը2. Ҥృᐑ༟͉ᇠላਜගʘண֛ਂ ( пcredit/GDP ) кᓙڦ͜ృᐑٙႾп༟ৃfίࡈҤృᐑ༟͉ᇠላٙᇍணࠇʕd௰ಇ˓ٙή˙݊j༈͜ʡჿ˙όאܸᅺԸ፫hვБٙ ( ۃ ) ᐏл̥࿁ڐԸߕၾߵdᗆ̈ږፄӻ݊ίОࣛஈڦ͜ཀܓᓒੵk˸ʿ1990ϋ˾ڋಂГफ˫ٙږፄΚዚϞОࣛஈসৗk˸ʿ༈ண֛εɽٙҤృᐑ༟͉༰Գٙཫঐɢd࿁Չ̴ΚዚۆڌତʔᇠላdʑঐΪᏐসৗࣛಂვБӻٙฦ̰kމԳfϤdBCBSतйϓͭəɓࡈᐼᜊᅰʈЪʃhვБ ( ᐼ ) ฦ̰ίృᐑ৷ࢤࣛdʔ˄ঐਜйଡ଼ ( Macro Variables Task Force, MVTF )Ը̈౻ंٙ੶ܓd݂ڌତʔԳfࠋபආБᗫٙࠇඎӺf࣬ኽ༈ʃଡ଼הҁϓhڦ͜ᄆࢨᒱ್࿁͉ϣΚዚϞʔ፹ٙཫঐٙʈЪజѓ ( Drehmann et al., 2010 ) dί൙ПɢdШ࿁Չ̴Κዚۆʔɓ֛fϾ˲dܘཀɧɽᗳᜊᅰ࿁ږፄΚዚٙཫࣖ؈ʘεேӚϞڗeҁٙڦ͜ᄆࢨ༟6ܝdഐ؈೯ତjࣘdה˸༰ʔቇΥਂމεᅰٙஷᅺh౻ंృᐑၾږፄӻృᐑʘගՈϞf6 Drehmann et al. ( 2010 ) ה൙Пٙɧɽᗳᜊᅰʱй݊jᐼΥᐼᜊᅰ ( νGDPϓڗଟeબڦϓڗଟecredit/GDPᕎڗಂᒈැʘషܓeྼሯٰᄆձʔਗପᄆࣸᕎՉڗಂᒈැʘషܓഃ )iვБژᐶࣖ ( ᐏлāޮቱeฦ̰ )i˸ʿፄ༟ϓ͉ ( Էνڦ͜ᄆࢨ )f16ږፄᑌΥᅄڦᕐ˜̊ ୋɤɖಂ
ࠬᎈ၍ଣ࣬ኽɪࠑٙʱؓഐ؈d༈˖Ⴉމcredit/ᅵdఊॱԴ͜credit/GDPॹɹਂމܸᅺٙɪࠑGDPॹɹᅼۨdɰʔԈঐίОࣛගቇ͜О( credit/GDP gap) ݊͜Ը፬ᗆڦ͜ృᐑً࿒ٙ௰Գܸᅺfɓࡈٙאήਜfה˸dމəᄲฐ္ଣৎԈd˴၍ዚᗫcredit/ʔঐ̥݊ዚόή፠ɪࠑᅼۨdϾ݊ࠅး̙GDPྼყ࠽৷Չл͜HPᓩتኜ ( Hodrick-ঐл͜ᗫ༟ৃd˸ቇٙкᓙၾ๖ஷԸпPrescott filter ) הПၑ̈ٙڗಂᒈැࣛdcredit/ՉҤృᐑ༟͉ᇠላٙӔഄۜሯfGDPॹɹމ͍࠽dˀʘۆމࠋ࠽f߰credit/GDPॹɹ˄ɽdڌͪ༈Ꮠ݊ஈڦ̙݊͜d͟Ϟʔˇٙ˴၍ዚᗫॹ˶வృᐑٙ৷ࢤdϤࣛვБӻуცቇܓᅡҤృ၇˸ᐼږፄᅰኽਂމ݁ഄԱኽ္ٙଣ᜕dΪϤdމпவԬ္ଣዚᗫՉ༟͉ᇠላӔᐑ༟͉ᇠላd˸ಯᇠڦ͜ϓڗٙܓfϾ࣬ኽഄ̙ٙቦၾѼቇdBCBS ( 2010b ) तйBCBS( 2010b )dვБӻίୋϋהቇٙ͜Ҥẗʞɽࡡۆdਂމ္ଣዚᗫίкᓙၾ๖ஷҤృృᐑ༟͉ᇠላ(VB ) dၾϋܓcredit/GDPॹtᐑ༟͉ᇠላࣛʘਞϽfϤʞɽࡡۆ݊jɹ(GAP ) ʘගண֛Ϟνɨٙᗫڷόjt( 1 ) ༟͉ᇠላٙӔഄᏐ˸Չה૧༺ϓʘͦᅺ 0↔%߰GAP 2 %t →މՉܸˏfఱҤృᐑ༟͉ᇠላϾ →5 (GAP 2 %)߰2% GβAP 1 0%(1)VB ← ttt16 →ԊdՉͦᅺ ( ၾڭव༟͉ᇠላଫϞʔ 2→.5%߰GAP 1ρ0%↑tΝ ) ఱ݊ࠅίڦ͜ཀܓᓒੵeӻࠬᎈה˸dcredit/GDPॹɹί2%˸ɨࣛdɪʺࣛdᅡᕘ̮ٙ༟͉ᇠላԸڭᚐვვБӻԨʔცᅡҤృᐑ༟͉ᇠላiॹɹ৷БӻdᒒеቊՑᆑί͊Ըฦ̰ʘላ10%ࣛdۆҤృᐑ༟͉ᇠላމࠬᎈ༟ପᕘᏘfٙ%iʧ2%~10%ʘගࣛdॹɹӊɪʺ( 2 ) ίආБ༟͉ᇠላӔഄࣛdબڦЦʫ1%dҤృᐑ༟͉ᇠላఱ̀ᄣ̋ࠬᎈ༟ପ͛ପˣᕘʘˢԷ ( credit/GDP )݊ɓࡈᕘٙ%f౬̩༑Ⴍdcredit/GDPॹɹϞٙ͜ஷਞϽᓃfᒱ̴್ʔɓ֛ࠅίഃ6%ࣛdҤృᐑ༟͉ᇠላуމࠬᎈ༟ପ˴၍ዚᗫהԴ͜ʘ༟ৃʕҲစ˕ৣٙᕘٙ%f˴ኬԉЍdʔཀd˴၍ዚᗫ̀ႭՉהԴٙ͜༟ৃdʿՉνОᅂᚤՑ༟͉ᇠ3. Ҥృᐑ༟͉ᇠላʘ္ଣላٙӔഄfᒱ್ɪࠑᗫڷόڷԱኽ༟ࣘٙྼᗇ( 3 ) ʔሞ݊Դ͜credit/GDPᒔ݊Չ̴༟ഐ؈הપПϾϓdՈϞᆽϾ܄ᝈٙ୕ࠇඎʷৃ ( Էνj၇༟ପᄆࣸeྼሯGDPϓਿᓾd္ଣዚᗫ̙˸Դ͜ӊ֙௰อ̈ᘟٙڗଟeፄ༟лଟ̋ᇁאCDSлࢨeڦ͜ᐼᅰኽdٜટڌሙdࠇၑ̈הცًٙرሜݟnഃ ) dே̀ءจՑϞӚϞҤృᐑ༟͉ᇠላf್ϾdఱνΝვБʫڦ͜Չ̴Ϊ९ึᅂᚤՑவԬᜊᅰٙБމdϾ൙ഃᅼۨʔঐڭᗇϵʱʘϵਜй̈λᕸ܄˒ɓږፄᑌΥᅄڦᕐ˜̊17 ୋɤɖಂ
ࠬᎈ၍ଣԴՉପ͛̈፹ႬٙႬኬৃfɹਂމண֛Ҥృᐑ༟͉ᇠላٙ˴ࠅਞϽܸᅺf್Ͼdவ၇ਂج݊щቇ̨͜ᝄkึ࿁̨ᝄٙ( 4 ) ίᏀɢಂගd༟͉ᇠላ߰ঐҞਗვБุ੭ԸܣᅵٙᅂᚤkவԬਪᕚேࠅίྼყ͜ ( ϾڢӉᇠ࿔ᙑ׳ )dਗ਼ϞпࠥЭ༊ၑܝʑঐΫഈfΪϤd͉˖ટɨԸуࠅˏ͜ڦ͜ԶഗաՑج֛༟͉ცӋʘࠢՓٙࠬBCBS ( 2010b ) הʘ˙جdԴ̨͜ᝄٙᗫᎈfᅰኽආБ༊ၑd˸کঐ࿁̨ᝄˏආҤృᐑ༟͉( 5 ) ί˴၍ዚᗫהঐԴٙ͜ᐼᄲฐ္ଣᇠላܝʘ̙ঐًرϞɓڋӉٙᐝ༆fણ݄ʕd༟͉ᇠላ݊ɓධࠠࠅٙʈՈfʔཀdڦٙ͜ཀܓϓڗ݊ණ̨ᝄვБุٙ༊ၑཀၾഐ؈ʕίݔԬत֛ٙژאุਕ ( Էνג൲ ) ࣛd˴၍ዚᗫᒔ̙݊˸મ՟Չ̴࣬ኽBCBS ( 2010b )dҤృᐑ༟͉ᇠላٙٙᐼᄲฐ္ଣણ݄dνࠢՓ൲ಛϓࠇၑऒʿɧࡈӉjᅰ ( loan-to-value ) fӉɓjϤ̮d˴၍ዚᗫᒔءจՑjვБίڦ͜ࠇၑӊɓಂ͏ᐄژᐼΥબڦ (CREDIT ) ЦtҞϓڗࣛಂהᅡٙҤృᐑ༟͉ᇠላdึଢ଼ʫ͛ପˣᕘ(GDP )ʘˢԷ(credit/GDP) ٙtጐՑ༟͉ʮጐ ( capital surplus ) ɪfϾڦ͜ྼყ࠽jRATIO =CREDIT ÷GDP ×100%ftttϓڗ׳ᇠeҤృᐑ༟͉ᇠላΫూՑ0ࣛd͟ӉɚjBCBSணϤࣛვБึࣅʘۃଢ଼ጐٙ༟͉ᇠላԴ͜HPᓩتኜПࠇcredit/GDPʘڗಂᒈැԸіϗฦ̰אᒒеږፄӻ೯͛ਪᕚה̙ঐி(TREND )d್ܝၑ̈credit/GDPॹɹjGAP ttϓٙላᏘdה˸ࡡۆɪԨ͊࿁வԬ༟͉ʮጐٙ= RATIO –TRENDfttԴ͜ணࠢfШ߰ϤࣛვБ݊ਗ਼வԬ༟͉ʱৣഗӉɧjٰ؇אࡰʈd˲Ϥᑘ˴၍ዚᗫൖމԨʔᄲฐл͜( 1 ) όਗ਼credit/GDPॹɹ(GAP ) ᔷ౬ϓtࣛd˴၍ዚᗫίၾვБীሞՉ༟͉ࠇࣛຫҤృᐑ༟͉ᇠላ( VB ) ft˟Չ༟͉ʱৣʘБމf˸ɨуʱй০࿁ӉɓeӉɚʿࡈ༊( ɧ ) ʃഐၑഐ؈ႭΧfᐼʘdҤృᐑ༟͉ᇠላٙͦٙ݊ࠅί౻( ɓ ) ༟ࣘԸ๕ं৷ࢤڭव༟͉d˸௪সৗࣛʘცf༶ЪϓމПၑӊ֙Credit/GDPٙྼყ࠽dҢࡁ̌ʘᗫᒟίঐщᆽྼਈՑڦٙ͜ཀܓϓ̀ʱйႎණᐼΥબڦၾʫ͛ପˣᕘٙڗאՉ̴ږፄΚዚ̙ঐ೯͛ٙ༦f࿁Ϥdᗫ༟ࣘfఱ̨ᝄϾԊdʫ͛ପˣᕘˢ༰ᔊBCBSϓͭٙʈЪʃଡ଼л͜əɚɤቱٙᗫఊdٜટί˴ࠇஈᐼ୕ࠇ༟ࣘࢫၣࠫ༟ࣘආБ୕ࠇʱؓʘܝdܔᙄ˸credit/GDPॹ18ږፄᑌΥᅄڦᕐ˜̊ ୋɤɖಂ
ࠬᎈ၍ଣ7ʕٙ͏ה୕ࠇ੬͜༟ࣘݟ༔у̙f( ɚ ) HPᓩتኜ ( Hodrick-Prescott filter ) ̥݊dΪՉމ֙༟ࣘdމࠥЭ֙ືتਗٙᅂίӉɚʕdცл͜HPᓩتኜԸПၑ̈ᚤd݂͉˖ίࠇၑࣛdڷਗ਼֙ၾۃɧ֙ʘcredit/GDPҏΐٙڗಂᒈැdޑ͉ື০࿁HPʫ͛ପˣᕘᅰο̋d˸ԴՉϓމ˾ڌɓϋᓩتኜਂɓҫࠅٙʧୗfHPᓩتኜ݊͟Robert ٙʫ͛ପˣᕘ༟ࣘfJ. HodrickၾEdward C. PrescottՇЗኪ٫ίЇᐼΥબڦd࣬ኽBCBS ( 2010b ) ٙႭ1981ϋה̈d͜Ըਗ਼הᝈ࿀ٙҏΐy ( t ) ʱ༆d௰ଣซٙ༟ࣘ݊Ҫࡈٟึʕࠇఊމృᐑc ( t ) ၾڗಂϓڗᒈැg ( t ) Շ၇ϓʱٙɓ9 ЗձՉ̴ڢږፄ͏ගژٙהϞ࠾ಛאڦ͜d၇ࠇඎ˙جfՈϾԊd༈ᅼۨணjʔሞՉҖόމОdɰʔ၍༟ږԶ٫݊ምdேҪ̴ࡁ̍ўආԸfɰఱ݊Ⴍd̥ࠅ݊ИίʫՉʕdct̙ൖމࣛගҏΐᕎڗಂᒈැٙٙ͏ගژʘࠋවdʔሞ݊Σʫא̮ږፄಞࢨධdڗಂϾԊdՉ̻ѩᅰᏐ༈ڢ੬ટڐዚ࠾ٙ፺d݊ΣვБ࠾ಛᒔ݊೯БවՎණ0fϾHPᓩتኜٙͦٙу݊ίҬ̈ঐΝࣛࡒᚥٙ༟ږd௰λேঐ̋ՑᐼΥબڦʕfவᅵʑʔಞࢨධc ( t ) ၾڗಂᒈැʘુଟᜊʷg – g [ ( tt-1) ึԶႰΪdᜫږፄዚซீཀვБ˸̮ٙՉ–g – g ( t-1t-2) ]dԴɚ٫ʘ̻˙ձ௰ʃʷٙɓଡ଼ ̴၍༸Ըબڦf̥݊dͦۃܘεேӚϞவ̻ٙڗಂᒈැ༩ࢰg, g, g, …, g ( -101T ) fԊჿҁٙ୕ࠇᅰοd̥ঐ͜ᗳЧٙҏΐԸਂಁʘdՉ௰Գʷᅼۨڷί༆Ӕɨࠑਪᕚj˾dԷνBCBS ( 2010b ) ίආБྼᗇʱؓࣛdʕٙʱఱ݊Դ͜࿁ڢږፄ͏ගژʘᐼTT ↔ ≡22Minc Λ (g; g ) ( g g ) = ←⁄⁄ ≈(3)ttt1t1t2TબڦٙᅰኽfΪϤd͉Ӻਗ਼˸ʕ̯ვБ{g}tt 1 ↑ …t 1 t 1 ࠠࠅږፄܸᅺዝ̦Ꮶࣩၣࠫʕٙ׳ಛ˜༟TT ♦ •22אMin(y g ) Λ (g 2 g g )8 ♥⁄tt⁄tt 1 t 2 ÷ࣘਂމᐼΥબڦٙ༟ࣘԸ๕fᓘ՟Չʕ࿁T{g}tt 1 ♠ ≠t 1 t 1 ͏ගژවᛆٙ୕ࠇᅰοdਗ਼ʘคϓ֙༟ՉʕdTމᅵ͉ᅰiǃމɓ͍ᅰd͜ԸˀࣘdΎৰ˸ɪࠑٙ֙ၾۃɧ֙ʘʫ͛ପˣ݈Ңࡁ࿁ڗಂᒈැુଟᜊਗٙࠠൖܓjǃᕘΥࠇᅰdਂމcredit/GDPٙྼყ࠽f7 ၣѧމ ሗਞϽʕ̯ვБၣࠫ HPᓩتኜ௰ڋ݊೯ڌί1981ϋ5˜Г̏ɽኪ(Northwestern Univ.)၍ଣ߅ኪʘᅰኪӺʕː(The Center for Mathematical Studies in Economics & Management Sciences)ٙୋ451ীሞ˖(Discussion Paper #451)d͜ԸӺܝߕٙ౻ंృᐑfઓΪ༈˖ܝԸϗί1997ϋ࿆ٙeڦ͜ၾვБಂ̊(Journal of Money, Credit and Banking)d݂ί͉˖ʕڷ˸Hodrick and Prescott (1997)ԸڌͪϤᇐ˖fږፄᑌΥᅄڦᕐ˜̊19 ୋɤɖಂ
ࠬᎈ၍ଣฏɽdڌͪҢࡁҎૐڗಂᒈැฏ̻eુଟᜊ400,000fϾί͉˖dΪᏝ༊ၑίBasel IIIݖਗฏʃฏλ ( ࿁ϾԊdуฏঐ࢙ҜϞ༰ɽٙɨ̨ᝄږፄዚהცʘҤృᐑ༟͉ᇠላd݂͵ಞࢨ࠽̈ତ ) i߰ǃ÷Üdڗಂᒈැٙુଟ (g tਗ਼ǃ࠽ண֛މ400,000f– g ) ึt-1ᒈڐݔࡈո֛੬ᅰƺdΪϾԴgtᜊਗ਼ ( 2 ) e ( 3 ) όʿɪࠑٙǃ࠽˾ɝӉɚϓ݊Աኽ௰ʃ̻˙ج ( least square ) הৣቇ̈ʕdۆHPᓩتኜٙᅼۨᜊϓjԸٙɓૢᇞᒈැᇞjg 0f ¡tᗫǃ࠽dHodrick and Prescott (1997) ܔᙄίஈଣ֙༟ࣘࣛd̙ண֛ǃ=1600iRavn and Uhlig ( 2002 ) ٙʱؓۆཀᅰɤϋٙ೯࢝dHPᓩتኜʊϓމତ೯ତjǃ࠽̀ᎇഹ༟ࣘٙ᎖ଟϾਂሜi˾ᐼӺʕ੬ٙ͜ࠇඎ˙جʘɓdεϾ௰Գٙǃ࠽̀࠱˸༟ࣘ᎖ଟˢԷ̬ٙϣழேʊϞତϓٙࢁༀό̙ԶԴ͜fΪϤd˙fᑘԷϾԊdᅰኽ֙༟ࣘᜊϓϋ༟ࣘ০࿁ɪࠦٙ ( 4 ) ʿ ( 5 ) όd͉˖ڷԴ͜EViewsࣛdՉ༟ࣘ᎖ଟᜊϓࡡԸٙ1/4dϤࣛఱᏐਗ਼୕ࠇழԸПࠇಂCredit/GDPٙڗಂϓڗᒈ4ǃ࠽ண֛މ ( 1/4 ) Ò1,600 = ԱϤ˙ැTRENDGAP ( t ) ʿՉಞࢨධ ( t ) fجdDrehmann et al. ( 2010 ) ٙڝɓ ( Annex 1 ) ʕܸ̈jྼᗇɪ೯ତdOECDٙ౻ंృ( ɧ ) ༊ၑഐ؈ᐑɽߧί4~8ϋʘගd̻ѩɽߒ5ϋiЇڦ͜ྡɓᜑ̨ͪ̈ᝄcredit/GDPྼყ࠽eڗಂٙృᐑಂdᒱ್வ˙ࠦٙ˖ᘠ༰ˇdШҢࡁ̙˸ᝈ࿀ՇϣږፄΚዚʘගٙࣛගڗܓԸਂપᒈැd˸ʿcredit/GDPॹɹІ1962ϋୋɓ֙Їሞdഐ؈೯ତ௰މ5ϋe௰ڗટڐ20ϋd˲2010ϋୋɓ֙ٙᜊʷًرfྡʕ̙ٝdᒱ್ʕЗᅰɽߒމ15ϋfΪϤdɓࡈڦ͜ಂٙࣛHPᓩتኜהПၑ̈Ըٙڗಂᒈැʥɓٜၪܵගɽߒ݊౻ंృᐑٙ3~4࠴fה˸dǃ࠽̙ணഹɪʺٙᒈැdШcredit/GDPྼყ࠽ί1995ϋ֛މjୋɚ֙༺Ց143%ٙ৷ࢤʘܝdఱɽߧί120% 4~138%ٙਜගቤᐗdӚϞආɓӉٙϓڗfவǃ = 125,000 ≈ 3Ò1,600d߰ணڦ͜ಂމ౻ंృᐑಂගٙɧ࠴i̙ঐ݊Ϊމεਿᄴږፄዚί1995ϋ7˜ܝ4ᚃ೯͛Ꮪгԫ ( Էν࿎ʷ̬ڦeʕᕺ̹༵ǃ = 400,000 ≈ 4Ò1,600dணڦ͜ಂމึnഃ ) dላᏘՑࡈږፄӻהߧf౻ंృᐑಂග̬ٙ࠴ࣛfЇcredit/GDPॹɹdۆϞ༰ɽషܓٙᜊ࣬ኽDrehmann et al. (2010) ٙྼᗇഐʷjdί1979ϋୋɧ֙ʘۃdᒱ್ॹɹϞ؈dίϽᅇۨIʿۨIIႬࢨʘܝdண֛ǃ= ͍ϞࠋdШᅰ࠽ேܘʃd௰ɽɰ̥Ϟ1975ϋ400,000௰ঐପ͛੶̙ቦٙৃdΪϤdBCBS ( 2010b ) уԱՉܔᙄdண֛ǃ࠽މୋ̬֙ٙ%fШ݊ί1980ϋʘܝdॹɹٙ20ږፄᑌΥᅄڦᕐ˜̊ ୋɤɖಂ
ࠬᎈ၍ଣᜊʷක̈ତషܓ༰ɽeܵᚃࣛග༰ɮٙಂ֙ޟЇ̈ତ%ٙዝ̦௰৷ᓃf̥݊dίۨ࿒fՉʕd1979ϋୋɧ֙ৎЇ1980ϋ˾ഐዝவᅵٙ৷ᓃʘܝdॹɹఱɓ༩ɨfආɝҼdே݊ॹɹމࠋٙࣛಂdˈՉ21˰ߏʘܝdһ݊ɓ༩ίЭᏦᆵૅdᒱ್ᜊʷ1987ϋୋɓషܓʔ྅ཀ̘20ϋԟჿɽdШॹɹɓٜڭܵࠋЇୋɧ֙dॹɹһൻՑ–23%ٙዝ̦ЭᏦf್࠽dɰˀ݈̈ڐɤϋვБุٙᐄቊ༾ѢྤfϾdආɝ1990ϋ˾ʘܝۍً݊ر˱ᜊdٜՑ2000ϋୋ̬֙dே̙Ⴍ݊ڦ͜ϓڗٙරږϋɪࠑٙʱؓҢࡁ̙˸೯ତd̨ᝄٙڦ͜˾dʔසॹɹɓٜၪܵί͍࠽d1995ϋୋɚృᐑҗֽϞഹɤϋᓒੵeɤϋϗᐵٙಂπྡɓ 1962 ~ 2010ϋୋɓ̨֙ᝄCredit/GDPʘྼყ࠽eᒈැၾॹɹCredit / GDPᒈැॹɹ160605012040803020401000-10-40-20-80-30༟ࣘԸ๕j͉ӺଣϾfྡɚ 1962ϋ ~ 2010ϋୋɓ̨֙ᝄვБุʘҤృᐑ༟͉ᇠላ%%%%%0%༟ࣘԸ๕j͉ӺଣϾfږፄᑌΥᅄڦᕐ˜̊21 ୋɤɖಂCredit/GDPʿՉڗಂᒈැ1962Q11962Q11964Q11964Q11966Q11966Q11968Q11968Q11970Q11970Q11972Q11972Q11974Q11974Q11976Q11976Q11978Q11978Q11980Q11980Q11982Q11982Q11984Q11984Q11986Q11986Q11988Q11988Q11990Q11990Q11992Q11992Q11994Q11994Q11996Q11996Q11998Q11998Q12000Q12000Q12002Q12002Q12004Q12004Q12006Q12006Q12008Q12008Q12010Q12010Q1Credit/GDPॹɹ
ࠬᎈ၍ଣίf߰ҷ৷Эᓃٙ೯͛ࣛගԸd1987ϋʔཀdҽࣶႴഃɛ ( 2010 ) ᒔܸ̈ə̤ٙЭᏦՑ1995ϋٙ৷ᓃdዝə8ϋࣛගi̮Շධ̨ᝄٙӻ୕ږፄΚዚdʱй݊20051995ϋٙ৷ᓃΎΫՑ2003ϋٙЭᏦdɰɽߒϋ7 ~ 8˜ٙᕐ̔གྷಂ׳ಛቱᕘකᜑᄣ݊8ϋfϾʔሞ݊8א10ϋdேˢܔึהႩ֛̋d˸ʿ2008ϋ10˜ٙྼ݄πಛΌᕘڭ̨ٙᝄ౻ंᓒੵಂאϗᐵಂٙࣛගᒔԸڗfღણ݄fϾவՇϣږፄΚዚۆ݊ೌج͟ɪவᅵٙઋҖၾDrehmann et al. ( 2010 ) ה೯ତࠑᅼۨeԴ͜Ҥృᐑ༟͉ᇠላԸ̋˸ႊٙfٙڦ͜ృᐑึˢ౻ंృᐑᒔڗʘྼᗇഐ؈̙Ԉdఊዹ̥০࿁ʫ͏ගژٙᐼΥબڦًɓߧi̥݊d̨ᝄٙڦ͜ృᐑಂЧ˷ˢɓছرԸྼ݄Ҥృᐑ༟͉ᇠላՓܓdࢵʥೌجдᒔଫฆһڗəԬfΌ̌dᒔႾ˸Չ̴္ଣણ݄ʑБfᙅνႭdЇྡɚdۆ݊͜ ( 1 ) όਗ਼̨ᝄ1962ϋୋ০࿁ᕐ̔ࠬᅳd̙˸तй০࿁ڦุ̔͜ਕdԱɓ֙Ї2010ϋୋɓ֙credit/GDPॹɹᔷ౬ϓҤՉબڦא೯̔ඎٙϓڗܓԸᏝࠈΥቇٙҤృృᐑ༟͉ᇠላܝٙഐ؈fʕ̙˸೯ତd̨ᝄᐑ༟͉ᇠላiЇ2008ϋٙږፄऎᄟdۆ̙ԱვБุڦ͜ϓڗ௰މҞe௰ცࠅᅡҤృᐑBCBS ( 2010b ) ʕϞᗫ̡ج၍ᒍʝٙᇍd༟͉ᇠላٙࣛಂd݊อვБϓͭܝٙ1992ϋீཀყၑვБၣ१Ըᐝ༆Չ̴ٙڦ͜ୋɚ֙කdɓٜՑ1999ϋୋɚ֙މ˟f࿁ϓڗ฿رdࡏлۃΪᏐԸІ̮ٙږፄ̨ࠬᝄڐ20ϋٙࠠࠅږፄԫdҢࡁ̙˸೯ତjᅳfd1992ϋɨ̒ϋՑεਿᄴږፄዚᚃ೯͛ਪᕚٙ1995~1996ϋdɽߒࢨɧϋഐႧٙࣛගfՉϣd࣬ኽҽࣶႴഃɛ ( 2010 ) הޢ০࿁Basel IIIה̈ٙҤృᐑ༟͉ᇠ̨֛ٙᝄӻږፄΚዚԫdۆίcredit/GDPላᇍd͉˖Դ̨͜ᝄ1962ϋୋɓ֙Їॹɹ̈ତ௰৷ࢤٙ1995ϋʘܝɧϋd1998ϋ2010ϋୋɓ֙ٙᗫ༟ࣘdආБڋӉٙ༊ၑf9˜೯͛ə͉ɺۨږፄΚዚiϾί1999ϋഐ؈೯ତdcredit/GDPॹɹה೯̈ٙৃ̙ɽୋɚ֙௰ܝɓϣ̈ତ%ٙҤృᐑ༟͉ᇠላʘߧ͜Ըཫԣ̨ᝄ1995~1996ϋٙਿᄴږፄᏚܝՇϋ̒dί2001ϋ12˜̈ତགྷ׳ˢ൴ཀгਪᕚe1998ϋ͉ٙɺۨږፄΚዚd˸10%ٙΚዚԫfவԬԫٙ೯͛ࣛගɽߧʿ2001ϋٙགྷ׳ˢ൴ཀ10%ʘږፄӻၾBCBSࡡהྌٙί̈ତڦ͜ཀܓϓڗΚዚfʔཀdவᅵٙഐ؈Ԩʔ˿ɛจ̮dΪމৃܝٙɧϋʫึ೯͛ږፄΚዚѕΥiڌcredit/GDPఱλˢ݊ࡈٙවਕϗɝͪࣛږፄዚ߰ঐԱϤዚՓᅡҤృᐑ༟͉ˢ ( debt-income ratio ) dה˸d̴ਿ͉ɪᏐᇠላdᏐঐɽషࠥЭவՇϣږፄΚዚ࿁̨ᝄঐܓήˀ݈ږፄӻٙࠬᎈ฿رfږፄӻٙላᏘf22ږፄᑌΥᅄڦᕐ˜̊ ୋɤɖಂ
ࠬᎈ၍ଣ್ϾdҢࡁɰ೯ତ̴Ԩʔঐ͜Ըཫԣ20053. _____________________________ ( 2010b ) , ¨Guidance for National Authorities Operating ϋٙᕐ̔ࠬᅳၾ2008ϋٙږፄऎᄟfה˸dʥthe Countercyclical Capital Buffer,©December Ϟˏ͜Չ̴ᗫᜊᅰԸпਈӻࠬᎈʘ̀2010, available at ( 2010b ) הٙՉ̴̙ঐᜊᅰd4. _____________________________ ( 2010c ) , ԷνٰᄆאʔਗପᄆࣸdආБྼᗇʱؓfܔᙄ¨Countercyclical Capital Buffer Proposal,©ܝᚃӺ̙Ύ˸Ϥਂމрɢٙ˙ΣfJuly 2010, available at _____________________________ ( 2009a ) , ̙ٙБfΪމྡɚ̙˸೯ତd̨ᝄვБุ¨Strengthening the Resilience of the Banking ͦۃԨӚϞڦ͜ཀܓϓڗٙ༦dΪϤdуԴSector,©December 2009, available at http://ତίͭуྼ݄Ҥృᐑ༟͉ᇠላʘᇍdɰʔึ _____________________________ ( 2009b ) , ¨Enhancements to the Basel II Framework,©ቦவධዚՓԸԣઃ್͊d೯౨ᐼᄲฐ္ଣJuly 2009, available at ʘdவᏐ݊Ϟл̨ᝄږፄุڗಂᖢ֛೯࢝ٙ7. Drehmann, M., C. Borio, L. Gambacorta, ɓධࠠࠅ݁ഄd࠽ପe֜eኪޢਂආɓӉG. Jiménez, and C. Trucharte ( 2010 ) , ٙଉɝઞীf¨Countercyclical Capital Buffers: Exploring Options,©BIS Working Papers No. 317, ਞϽ˖ᘠavailable at ҽࣶႴeϪ͑༃eҽͭᓵeเ઼ѩ(2010)d̨ᝄږፄΚዚჯܸᅺʘӺd̨ᝄږ8. Hodrick, ., and . Prescott ( 1997 ) , ፄਕุᑌΥᐼึ։ৄࠇdၣѧjwww.¨Postwar . Business Cycles: An Empirical of Money, Credit and Ӻ.pdf Banking, Vol. 29, No. 1, pp. 1–. Basel Committee on Banking Supervision 9. Ravn, M. O., and H. Uhlig ( 2002 ) ,¨On (2010a),¨Basel III: A Global Regulatory Adjusting the Hodrick-Prescott Filter for the Framework for More Resilient Banks and Frequency of Observations,©Review of Banking Systems,©December 2010, available Economics and Statistics, Vol. 84, No. 2, pp. at ୋ
