Liberalization, moral hazard in banking, and prudential regulation: Are capital requirements enough?

• 成果类型: Article
• 署名作者: Hellmann, TF; Murdock, KC; Stiglitz, JE
• 署名单位: Stanford University; McKinsey & Company; The World Bank
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.90.1.147
• 发表日期: 2000
• 页码: 147-165
• 关键词: interest-rates; debt; MARKETS; CRISIS

摘要

In a dynamic model of moral hazard, competition can undermine prudent bank behavior. While capital-requirement regulation can induce prudent behavior, the policy yields Pareto-inefficient outcomes. Capital requirements reduce gambling incentives by putting bank equity at risk. However, they also have a perverse effect of harming banks' franchise values, thus encouraging gambling. Pareto-efficient outcomes can be achieved by adding deposit-rate controls as a regulatory instrument, since they facilitate prudent investment by increasing franchise values. Even if deposit-rate ceilings are not binding on the equilibrium path, they may be useful in deterring gambling off the equilibrium path. (JEL G2, E4, L5).