Cyclical effects of bank capital requirements with imperfect credit markets

被引:13
作者
Agenor, Pierre-Richard [1 ]
Pereira da Silva, Luiz A. [2 ]
机构
[1] Univ Manchester, Sch Social Sci, Manchester M13 9PL, Lancs, England
[2] Cent Bank Brazil, BR-70074900 Brasilia, DF, Brazil
关键词
Procyclicality of financial system; Bank capital regulatory regimes; Capital buffers; BASEL-II; ADEQUACY REQUIREMENTS; MONETARY-POLICY; BEHAVIOR; MODELS;
D O I
10.1016/j.jfs.2010.07.002
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper analyzes the cyclical effects of bank capital requirements in a simple model with credit market imperfections. Lending rates are set as a premium over the cost of borrowing from the central bank, with the premium itself depending on collateral. Basel I- and Basel II-type regulatory regimes are defined and a capital channel is introduced through a signaling effect of capital buffers. The macroeconomic effects of a negative supply shock are analyzed, under both binding and nonbinding capital requirements. Factors affecting the procyclicality of each regime (defined in terms of the behavior of the risk premium) are also identified. (C) 2010 Published by Elsevier B.V.
引用
收藏
页码:43 / 56
页数:14
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