Twin Defaults and Bank Capital Requirements

• 成果类型: Article; Early Access
• 署名作者: Mendicino, Caterina; Nikolov, Kalin; Rubio-ramirez, Juan; Suarez, Javier; Supera, Dominik
• 署名单位: European Central Bank; Centre for Economic Policy Research - UK; Emory University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Columbia University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082; 1540-6261
• DOI: 10.1111/jofi.70058
• 发表日期: 2026-06-25
• 关键词: macroeconomic model; financial crises; AGENCY COSTS; net worth; debt; RISK; fluctuations; liquidity

摘要

We examine optimal capital requirements in a quantitative general equilibrium model with banks exposed to nondiversifiable borrower default risk. Contrary to standard models of bank default risk, our framework captures the limited upside, but significant downside risk of loan portfolio returns. This helps to reproduce the frequency and severity of twin defaults: simultaneously high firm and bank defaults. Hence, the optimal bank capital requirement, which trades off a lower frequency of twin defaults against restricting credit provision, is higher than under default risk models which underestimate the impact of borrower default on bank solvency.