Procyclical Capital Regulation and Lending

• 成果类型: Article
• 署名作者: Behn, Markus; Haselmann, Rainer; Wachtel, Paul
• 署名单位: European Central Bank; Goethe University Frankfurt; New York University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12368
• 发表日期: 2016
• 页码: 919-956
• 关键词: monetary-policy; RISK; requirements; transmission; banking; crunch; say

摘要

We use a quasi-experimental research design to examine the effect of model-based capital regulation on the procyclicality of bank lending and firms' access to funds. In response to an exogenous shock to credit risk in the German economy, capital charges for loans under model-based regulation increased by 0.5percentage points. As a consequence, banks reduced the amount of these loans by 2.1 to 3.9percentage points more than for loans under the traditional approach with fixed capital charges. We find an even stronger effect when we examine aggregate firm borrowing, suggesting that microprudential capital regulation can have sizeable real effects.