G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16670
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
URLhttps://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.
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