Macroeconomic Shocks and Banking Regulation
建立了一个模型，分析宏观经济冲击下银行监管的作用，探讨逆周期资本缓冲、动态拨备等自我保险机制以及或有可转换债券和资本保险等宏观对冲工具的可行性。
The recent crisis has brought to the fore the cyclical properties of banking regulation. Countercyclical buffers and enhanced capital requirements meant to stabilize banks’ balance sheets across the cycle are not costless, and a delicate balance needs to be reached between providing incentives to generate value and discouraging excessive risk taking. The paper develops a model in which, in contrast with Modigliani–Miller, outside equity and capital requirements matter. It analyses banking regulation in the presence of macroeconomic shocks and studies the desirability of self‐insurance mechanisms such as countercyclical capital buffers or dynamic provisioning, as well as “macro‐hedges” such as CoCos and capital insurance.