| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP10387
|
| DP10387 Optimal capital requirements over the business and financial cycles |
| Frederic Malherbe
|
| 发表日期 | 2015-02-01
|
| 出版年 | 2015
|
| 语种 | 英语
|
| 摘要 | I propose a simple theory of intertwined business and financial cycles, where financial regulation both optimally responds to and influences the cycles. In this model, banks do not internalize the effect of their credit expansion on other banks? expected bankruptcy costs, which leads to excessive aggregate lending. In response, the regulator sets a capital requirement to trade off expected output against financial stability. The capital requirement that ensures investment efficiency depends on the state of the economy and, because of a general equilibrium effect, its stringency increases with aggregate banking capital. A regulation that fails to take this effect into account would exacerbate economic fluctuations and result in excessive aggregate lending during a boom. It would also allow for an excessive build-up of risk in the financial sector, which implies that, at the peak of a boom, even a small adverse shock could trigger a banking sector collapse, followed by an excessively severe credit crunch. |
| 主题 | Financial Economics
; International Macroeconomics
|
| 关键词 | Basel 3
Capital requirement
Costly default
Counter-cyclical buffers
Financial cycles
Financial regulation
|
| URL | https://cepr.org/publications/dp10387
|
| 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/539218
|
推荐引用方式
GB/T 7714 |
Frederic Malherbe. DP10387 Optimal capital requirements over the business and financial cycles. 2015.
|
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