| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14427 |
| DP14427 Twin Defaults and Bank Capital Requirements | |
| Caterina Mendicino; Kalin Nikolov; Juan Francisco Rubio-Ramírez; Javier Suarez; Dominik Supera | |
| 发表日期 | 2020-02-21 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We examine optimal capital requirements in a quantitative general equilibrium model with banks exposed to non-diverfisiable borrower default risk. Contrary to standard models of bank default risk, our framework captures the limited upside but significant downside risk of loan portfolio returns (Nagel and Purnanandam, 2020). This helps to reproduce the frequency and severity of twin defaults: simultaneously high firm and bank failures. Hence, the optimal bank capital requirement, which trades off a lower frequency of twin defaults against restricting credit provision, is 5pp higher than under standard default risk models which underestimate the impact of borrower default on bank solvency. |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations |
| 关键词 | Financial intermediation Macroprudential policy Default risk Bank assets returns |
| URL | https://cepr.org/publications/dp14427-1 |
| 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/543323 |
| 推荐引用方式 GB/T 7714 | Caterina Mendicino,Kalin Nikolov,Juan Francisco Rubio-Ramírez,et al. DP14427 Twin Defaults and Bank Capital Requirements. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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