• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Summer School
      • Behavioral Macro and Complexity
      • Climate Change
      • (CANCELED) Econometrics and Data Science Methods
      • Networks in Micro- and Macroeconomics
      • Business Data Science Summer School Program
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • Conference: Consumer Search and Markets
    • Annual Tinbergen Institute Conference
  • Summer School
  • Alumni
  • Times

02-107/2 - Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation

  • Authors
    Siem Jan Koopman, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam; André Lucas, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam; Pieter Klaassen, ABNAMRO Bank NV, and Vrije Universiteit Amsterdam
  • Publication date
    October 24, 2002
  • Keywords
    credit risk; pro-cyclicality; capital requirements; dynamic models; common factors; credit cycles; time varying parameters
  • JEL
    G21; C19
Download here