| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8897 |
| 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 |
| URL | https://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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