Vivien Czofa, Tibor Szendrei, Katalin Varga
arXiv 14 Aug 2026 · Econometrics
arXiv:2608.14307 · PDF · Extracted main text
This paper employs a Threshold Bayesian Vector Autoregression (TBVAR) to estimate the regime-dependent macroeconomic effects of capital regulation in Hungary. Using the Factor-based Index of Systemic Stress (FISS) as the threshold variable, the model identifies normal and stress regimes consistent with the occasionally binding constraints literature. The TBVAR offers a practical multivariate alternative to Growth-at-Risk for data-constrained economies. Generalised impulse responses reveal a pronounced asymmetry: releasing regulatory capital during stress raises GDP growth at the peak, with effects persisting for roughly twenty months, while the cost of accumulating capital in the normal regime is economically negligible. These findings are robust to alternative Cholesky orderings, sample periods, and credit variable definitions, providing direct empirical support for the countercyclical operation of the capital buffer.
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| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Alessandri, Piergiorgio and Mumtaz, Haroon (2017) Financial conditions and density forecasts for US output and inflation | 1.000 | 13 | 5 | 100% |
| 2 | Brunnermeier, Markus K. and Sannikov, Yuliy (2014) A macroeconomic model with a financial sector | 1.000 | 6 | 4 | 100% |
| 3 | Chavleishvili, Sulkhan and Manganelli, Simone (2024) Forecasting and stress testing with quantile vector autoregression | 1.000 | 5 | 4 | 100% |
| 4 | Jiménez, Gabriel and Ongena, Steven and Peydró, José-Luis and Saurin… (2017) Macroprudential Policy, Countercyclical Bank Capital Buffers, and Credit Supply: Evidence from the Spanish Dynamic Provisioning… | 1.000 | 5 | 4 | 100% |
| 5 | Adrian, Tobias and Boyarchenko, Nina and Giannone, Domenico (2019) Vulnerable growth | 0.928 | 4 | 3 | 100% |
| 6 | Detken, Carsten and Weeken, Olaf and Alessi, Lucia and Bonfim, Diana… (2014) Operationalising the countercyclical capital buffer: indicator selection, threshold identification and calibration options | 0.928 | 4 | 3 | 100% |
| 7 | Dursun-de Neef, H. Özlem and Schandlbauer, Alexander and Wittig, Colin (2023) Countercyclical capital buffers and credit supply: evidence from the COVID-19 crisis | 0.928 | 4 | 3 | 100% |
| 8 | Chen, Cathy W. S. and Lee, Jack C (1995) BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS | 0.874 | 5 | 2 | 100% |
| 9 | Aikman, David and Bridges, Jonathan and Kashyap, Anil and Siegert, C… (2019) Would macroprudential regulation have prevented the last crisis? | 0.843 | 3 | 3 | 100% |
| 10 | Bank of England, Financial Policy Committee (2023) The Financial Policy Committee's Approach to Setting the Countercyclical Capital Buffer | 0.843 | 3 | 3 | 100% |
Showing the top 10 of 44 scored citations.