A Q-Theory of Banks

• 成果类型: Article; Early Access
• 署名作者: Begenau, Juliane; Bigio, Saki; Majerovitz, Jeremy; Vieyra, Matias
• 署名单位: National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of California System; University of California Los Angeles; National Bureau of Economic Research; National Bureau of Economic Research; University of Notre Dame; Bank of Canada
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdaf035
• 发表日期: 2025
• 关键词: macroeconomic model; leverage; liquidity; credit; runs; incentives; bankruptcy; MARKETS

摘要

Bank capital requirements are based on book values, which are slow to reflect losses. In this article, we develop a dynamic model of banks to study the interaction of regulation and delayed accounting. Our model explains four stylized facts: book and market values diverge during crises, the market-to-book ratio predicts future profitability, book leverage constraints rarely bind strictly even as market leverage fans out during crises, and banks delever gradually after net-worth shocks. We show how delayed accounting can allow the regulator to achieve better outcomes than immediate (mark-to-market) accounting. In an estimated version of the model, the optimal regulation couples faster loan-loss recognition with a modest relaxation of the book leverage constraint.