The paper investigates whether there is sufficient empirical support in Italy for the introduction of a sectoral countercyclical capital buffer (CCyB) in the macroprudential framework.
The paper shows that a sectoral CCyB can be a useful addition to the macroprudential framework as both the timing for activation and the size of the capital buffer could differ when accounting for the sectoral dimension of the credit-to-GDP gap. The synchronicity of sectoral credit cycles, their contribution to systemic stress and the prudential requirement associated with their risk exposures differ quite significantly.
