Macroprudential policy with capital buffers

Arbeitspapier

This paper studies optimal bank capital requirements in a model of endogenous bank funding conditions. I find that requirements should be higher during good times such that a macroprudential "buffer" is provided. However, whether banks can use buffers to maintain lending during a financial crisis depends on the capital requirement during the subsequent recovery. The reason is that a high requirement during the recovery lowers bank shareholder value during the crisis and thus creates funding-market pressure to use buffers for deleveraging rather than for maintaining lending. Therefore, buffers are useful if banks are not required to rebuild them quickly.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Bank of Canada Staff Working Paper ; No. 2019-8

Klassifikation und Themen

• Klassifikation: Wirtschaft ; General Aggregative Models: Neoclassical ; Business Fluctuations; Cycles ; Financial Markets and the Macroeconomy
• Thema: Credit and credit aggregates ; Financial stability ; Financial system regulation and policies ; Business fluctuations and cycles ; Credit risk management ; Lender of last resort

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Schroth, Josef
• Ereignis: Veröffentlichung
• (wer): Bank of Canada
• (wo): Ottawa
• (wann): 2019

Weitere Informationen

• DOI: doi:10.34989/swp-2019-8
• Handle: http://hdl.handle.net/10419/197922
• Letzte Aktualisierung: 20.09.2024, 08:22 MESZ