Dynamics of Banks' Capital Accumulation
构建了一个动态新古典银行资本模型，研究银行利润最大化资本比率如何演变，以及在经济长期低迷时期如何应对外部冲击。
We construct a dynamic neoclassical model of banking capital where the dynamics are governed by the process of financial capital accumulation and credit risk realizations in a structure where stylized banking characteristics are maintained. This is aimed at focusing on how the profit‐maximizing capital ratio of banks evolves and how it reacts to exogenous shocks particularly so during periods of prolonged downturn of the economy. We examine impulse responses of our model to credit risk shock, business cycle shock, and monetary policy shock. The convergence of financial capital to its optimal level is also explored.