Capital Requirements and Business Cycles with Credit Market Imperfections

Agé ; nor, P.-R. ; Alper, K. ; Pereira da Silva, L.

关键词: ACCOUNTING;    ACCOUNTING PRINCIPLES;    ADVERSE SELECTION;    AGGREGATE DEMAND;    AGGREGATE SUPPLY;   

DOI  :  10.1596/1813-9450-5151
RP-ID  :  WPS5151

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

The business cycle effects of bankcapital regulatory regimes are examined in a New Keynesianmodel with credit market imperfections and a cost channel ofmonetary policy. Key features of the model are that bankcapital increases incentives for banks to monitor borrowers,thereby reducing the probability of default, and excesscapital generates benefits in terms of reduced regulatoryscrutiny. Basel I and Basel II-type regulatory regimes aredefined, and the model is calibrated for a middle-incomecountry. Simulations of supply and demand shocks show that,depending on the elasticity that relates the repaymentprobability to the capital-loan ratio, a Basel II-typeregime may be less procyclical than a Basel I-type regime.