The Cost of Bank Regulatory Capital

• 成果类型: Article
• 署名作者: Plosser, Matthew C.; Santos, Joao A. C.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; Universidade Nova de Lisboa
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhad077
• 发表日期: 2024
• 页码: 685
• 关键词: credit; liquidity

摘要

Basel I introduced capital requirements for undrawn commitments, but only for revolvers with an original maturity greater than one year. We use this regulatory discontinuity to estimate the impact of capital regulation on the cost and composition of credit. Following Basel I, short-term commitment fees declined relative to long-term commitments and issuance of short-term facilities increased. Our results highlight the sensitivity of credit provision to capital regulation, particularly for banks with less capital. We are able to infer that low-capital banks are willing to forego twice as much income from fees to reduce required regulatory capital by a dollar.