The macroeconomics of Modigliani-Miller

• 成果类型: Article
• 署名作者: Gersbach, Hans; Haller, Hans; Mueller, Juerg
• 署名单位: Swiss Federal Institutes of Technology Domain; ETH Zurich; Centre for Economic Policy Research - UK; Virginia Polytechnic Institute & State University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2015.02.003
• 发表日期: 2015
• 页码: 1081-1113
• 关键词: Financial intermediation; banking; capital structure; Modigliani-Miller; general equilibrium; Capital requirements

摘要

We examine the validity of a macroeconomic version of the Modigliani Miller theorem. By this, we mean that different capital structures can occur in equilibrium and that all of them are associated with the same allocation of commodities and the same welfare. We develop a general equilibrium model with two production sectors, risk-averse households, and financial intermediation by banks. Banks are funded by (safe) deposits and (outside) equity and monitor borrowers in lending. Two sets of equilibria emerge. These sets differ with regard to the debt-equity ratios of banks, investment in risky technologies, bank defaults, and whether first-best allocations are attained. Hence, the macroeconomic version of the Modigliani Miller theorem fails to hold. Imposing minimum equity capital requirements, however, eliminates all inefficient equilibria and guarantees the validity of the macroeconomic version of the Modigliani Miller theorem. (c) 2015 Published by Elsevier Inc.