Rules versus discretion in capital regulation☆

• 成果类型: Article
• 署名作者: Jermann, Urban; Xiang, Haotian
• 署名单位: University of Pennsylvania; National Bureau of Economic Research; Peking University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104060
• 发表日期: 2025
• 关键词: CAPITAL REGULATION; time inconsistency; Non-maturing deposits; Dilution

摘要

We study capital regulation in a dynamic model for bank deposits. Capital regulation addresses banks' incentive for excessive leverage that dilutes depositors, but preserves some dilution to reduce bank defaults. We show theoretically that capital regulation is subject to a time inconsistency problem. In a model with non-maturing deposits where optimal withdrawals make deposits endogenously long-term, we find commitment to have important effects on the optimal level and cyclicality of capital adequacy. Our results call for a systematic framework that limits capital regulators' discretion.