Microprudential Regulation in a Dynamic Model of Banking

• 成果类型: Article
• 署名作者: De Nicolo, Gianni; Gamba, Andrea; Lucchetta, Marcella
• 署名单位: International Monetary Fund; Leibniz Association; Ifo Institut; University of Warwick; Universita Ca Foscari Venezia
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu022
• 发表日期: 2014
• 页码: 2097
• 关键词: CAPITAL REGULATION; INVESTMENT; cost

摘要

This paper studies the quantitative impact of microprudential bank regulations on bank lending and value metrics of efficiency and welfare in a dynamic model of banks that are financed by debt and equity, undertake maturity transformation, are exposed to credit and liquidity risks, and face financing frictions. We show that (1) there exists an inverted U-shaped relationship between bank lending, welfare, and capital requirements, (2) liquidity requirements unambiguously reduce lending, efficiency, and welfare, and (3) resolution policies contingent on observed capital, such as prompt corrective action, dominate in efficiency and welfare terms (noncontingent) capital and liquidity requirements.