Capital requirements, risk choice, and liquidity provision in a business-cycle model

• 成果类型: Article
• 署名作者: Begenau, Juliane
• 署名单位: Stanford University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.10.004
• 发表日期: 2020
• 页码: 355-378
• 关键词: Capital requirement; Bank regulation; Bank loan supply; Safe asset demand

摘要

This paper develops a dynamic general equilibrium model to quantify the effects of bank capital requirements. Households' preferences for liquid assets imply a liquidity premium on deposits. The banking sector supplies deposits and has excessive risk-taking incentives. I show that the scarcity of deposits created by an increased capital requirement can reduce the cost of capital for banks and increase bank lending. A higher capital requirement also increases banks' monitoring incentives, which improves the efficiency of banks' activities. Under reasonable parameterizations, the marginal benefit of a higher capital requirement related to this channel significantly exceeds the marginal cost, indicating that US capital requirements have been suboptimally low. (C) 2019ElsevierB.V. Allrightsreserved.