The Effects of Capital Requirements on Good and Bad Risk-Taking

• 成果类型: Article
• 署名作者: Pancost, N. Aaron; Robatto, Roberto
• 署名单位: University of Texas System; University of Texas Austin; University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac037
• 发表日期: 2023
• 页码: 733
• 关键词: unemployment fluctuations; Financial stability; idiosyncratic risk; Bank runs; INVESTMENT; cash; MODEL; determinants; COMPETITION; fragility

摘要

We study capital requirement regulation in a dynamic quantitative model in which nonfinancial firms, as well as households, hold deposits. A novel general equilibrium channel that operates through firms deposits mitigates the cost of increasing capital requirements. In the calibrated model, (a) the optimal capital requirement is 7.3 percentage points higher than in a comparable model in which all the deposits are held by households, and (b) setting the capital requirement higher than the true optimum is not as costly as one would gauge from the comparable model. We also provide some independent evidence that supports our novel channel.