| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9008 |
| DP9008 Cyclical Adjustment of Capital Requirements: A Simple Framework | |
| Rafael Repullo | |
| 发表日期 | 2012-06-03 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We present a simple model of an economy with heterogeneous banks that may be funded with uninsured deposits and equity capital. Capital serves to ameliorate a moral hazard problem in the choice of risk. There is a fixed aggregate supply of bank capital, so the cost of capital is endogenous. A regulator sets risk-sensitive capital requirements in order to maximize a social welfare function that incorporates a social cost of bank failure. We consider the effect of a negative shock to the supply of bank capital and show that optimal capital requirements should be lowered. Failure to do so would keep banks safer but produce a large reduction in aggregate investment. The result provides a rationale for the cyclical adjustment of risk-sensitive capital requirements. |
| 主题 | Financial Economics |
| 关键词 | Banking regulation Basel ii Capital requirements Procyclicality |
| URL | https://cepr.org/publications/dp9008 |
| 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/537846 |
| 推荐引用方式 GB/T 7714 | Rafael Repullo. DP9008 Cyclical Adjustment of Capital Requirements: A Simple Framework. 2012. |
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