Capital regulation and credit fluctuations

• 成果类型: Article
• 署名作者: Gersbach, Hans; Rochet, Jean-Charles
• 署名单位: Swiss Federal Institutes of Technology Domain; ETH Zurich; University of Zurich; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2017.05.008
• 发表日期: 2017
• 页码: 113-124
• 关键词: Credit fluctuations; Macroprudential regulation; Sectoral misallocation of capital

摘要

Credit cycle stabilization can be a rationale for imposing counter-cyclical capital requirements on banks. The model comprises two productive sectors: in one sector, firms can finance investments through a bond market. In the other, firms rely on bank credit. Financial frictions limit banks' borrowing capacity. Aggregate shocks impact firms' productivity. From a welfare perspective, banks lend too much in high productivity states and too little in bad states, although financial markets are complete. Imposing a (stricter) capital requirement in good states corrects capital misallocation, increases expected output and social welfare. Even with risk-neutral agents, stabilization of credit cycles is socially beneficial. (C) 2017 Elsevier RV. All rights reserved.