G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8897
DP8897 The Procyclical Effects of Bank Capital Regulation
Rafael Repullo; Javier Suarez
发表日期2012-03-12
出版年2012
语种英语
摘要We develop and calibrate a dynamic equilibrium model of relationship lending in which banks are unable to access the equity markets every period and the business cycle is a Markov process that determines loans' probabilities of default. Banks anticipate that shocks to their earnings and the possible variation of capital requirements over the cycle can impair their future lending capacity and, as a precaution, hold capital buffers. We compare the relative performance of several capital regulation regimes, including one that maximizes a measure of social welfare. We show that Basel II is significantly more procyclical than Basel I, but makes banks safer. For this reason, it dominates Basel I in terms of welfare except for small social costs of bank failure. We also show that for high values of this cost, Basel III points in the right direction, with higher but less cyclically-varying capital requirements.
主题Financial Economics
关键词Banking regulation Basel capital requirements Capital market frictions Credit rationing Loan defaults Relationship banking Social cost of bank failure
URLhttps://cepr.org/publications/dp8897
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/537758
推荐引用方式
GB/T 7714
Rafael Repullo,Javier Suarez. DP8897 The Procyclical Effects of Bank Capital Regulation. 2012.
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