| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25424 |
| 来源ID | Working Paper 25424 |
| Capital Requirements in a Quantitative Model of Banking Industry Dynamics | |
| Dean Corbae; Pablo D'; Erasmo | |
| 发表日期 | 2019-01-07 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We develop a model of banking industry dynamics to study the quantitative impact of capital requirements on equilibrium bank risk taking, commercial bank failure, interest rates on loans, and market structure. We propose a market structure where big banks with market power interact with small, competitive fringe banks. Banks face idiosyncratic funding shocks in addition to aggregate shocks to the fraction of performing loans in their portfolio. A nontrivial bank size distribution arises out of endogenous entry and exit, as well as banks' buffer stock of net worth. We show the model predictions are consistent with untargeted business cycle properties, the bank lending channel, and empirical studies of the role of concentration on financial stability. We then conduct a series of counterfactuals (including countercyclical and size contingent (e.g. SIFI) capital requirements). We find that regulatory policies can have an important impact on market structure in the banking industry which, along with selection effects, can generate changes in allocative efficiency. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Financial Institutions ; Industrial Organization ; Market Structure and Firm Performance |
| URL | https://www.nber.org/papers/w25424 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583098 |
| 推荐引用方式 GB/T 7714 | Dean Corbae,Pablo D',Erasmo. Capital Requirements in a Quantitative Model of Banking Industry Dynamics. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25424.pdf（1121KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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