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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP16670 |
DP16670 A q-theory of banks | |
Juliane Begenau; Saki Bigio; Matias Vieyra; Jeremy Majerovitz | |
发表日期 | 2021-10-27 |
出版年 | 2021 |
语种 | 英语 |
摘要 | We propose a dynamic bank theory with a delayed loss recognition mechanism and a regulatory capital constraint at its core. The estimated model matches four facts about banks' Tobin's Q that summarize bank leverage dynamics. (1) Book and market equity values diverge, especially during crises; (2) Tobin's Q predicts future bank profitability; (3) neither book nor market leverage constraints are binding for most banks; (4) bank leverage and Tobin's Q are mean reverting but highly persistent. We examine a counterfactual experiment where different accounting rules produce a novel policy tradeoff. |
主题 | Financial Economics ; International Macroeconomics and Finance ; Macroeconomics and Growth |
关键词 | Banks Leverage dynamics Market vs. book values Delayed accounting |
URL | https://cepr.org/publications/dp16670 |
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/545609 |
推荐引用方式 GB/T 7714 | Juliane Begenau,Saki Bigio,Matias Vieyra,et al. DP16670 A q-theory of banks. 2021. |
条目包含的文件 | 条目无相关文件。 |
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