Cyclical Effects of Bank Capital Requirements with Imperfect Credit Markets

Agé ; nor, Pierre-Richard ; Pereira da Silva, Luiz A.

关键词: ACCELERATOR;    ACCELERATOR EFFECT;    ACCOUNTING;    ADVERSE CONSEQUENCES;    ADVERSE EFFECT;   

DOI  :  10.1596/1813-9450-5067
RP-ID  :  WPS5067

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

This paper analyzes the cyclical effectsof bank capital requirements in a simple model with creditmarket imperfections. Lending rates are set as a premiumover the cost of borrowing from the central bank, with thepremium itself depending on firmseffective collateral.Basel I- and Basel II-type regulatory regimes are definedand a capital channel is introduced through a signalingeffect of capital buffers on the cost of bank deposits. Themacroeconomic effects of various shocks (a drop in output,an increase in the refinance rate, and a rise in the capitaladequacy ratio) are analyzed, under both binding andnonbinding capital requirements. Factors affecting theprocyclicality of each regime (defined in terms of thebehavior of the risk premium) are also identified and policyimplications are discussed.