摘要：In this paper, we analyse the relationship between the Spanish business cycle and the
capital buffers held by Spanish commercial and savings banks. We build an incomplete
panel of Spanish institutions from 1986 to 2000 –thus covering a complete business cycle–
and estimate an equation for the behaviour of capital buffers that includes an indicator of
the business cycle. Our findings are fairly robust and quite unequivocal. After controlling for
other potential determinants of the surplus capital we find a robustly significant negative
relationship between the business cycle and capital buffers. From a quantitative standpoint,
an increase of 1 percentage point in GDP growth might reduce capital buffers by 17%. This
relationship is, moreover, asymmetric, being closer during upturns. Accordingly, there is a
case for taking into account the so-called pro-cyclicality problem in the final design of Basel
II. Pillar 2 seems to be the right place to address the issue.
