While the setting of the countercyclical capital buffer (CCyB) is not an automatic decision, insights from indicators, such as the credit-to-GDP gap, are a starting point to inform the policy decision. This paper identifies an optimal rule to map the credit-to-GDP gap to the guide to set the CCyB. We use Italian data and follow two alternative procedures. First, we apply the criteria suggested by the Basel Committee on Banking Supervision (BCBS). Then we depart from the BCBS approach by proposing a procedure based on the maximization of the area under the receiver operating characteristic curve. We also explore whether the CCyB, had it been in place, would have mitigated the repercussions of the Great Financial Crisis on the Italian banking system. Based on a stylized exercise, the full release of the CCyB at the outbreak of the crisis would have freed around €40 billion of capital, a value close to the total amount of banks' credit provisions during the 3 following years.

中文翻译：

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使用 AUROC 校准反周期资本缓冲

虽然反周期资本缓冲（CCyB）的设置不是自动决定，但信贷与 GDP 差距等指标的洞察是政策决策的起点。本文确定了将信贷与 GDP 差距映射到 CCyB 设定指南的最佳规则。我们使用意大利数据并遵循两种替代程序。首先，我们采用巴塞尔银行监管委员会（BCBS）建议的标准。然后，我们与 BCBS 方法不同，提出了一种基于接收者操作特征曲线下面积最大化的程序。我们还探讨了 CCyB 如果到位的话是否会减轻金融危机对意大利银行体系的影响。根据程式化的做法，危机爆发时全面释放 CCyB 将释放约 400 亿欧元的资本，这一价值接近未来 3 年银行信贷拨备的总额。