Bank Regulation under Fire Sale Externalities
研究了资本和流动性监管的最优设计及相互作用，发现银行因忽视火灾甩卖外部性而过度投资风险资产、流动性不足，资本监管可缓解低效但会降低流动性比率，而宏观审慎流动性要求能实现次优结果并改善金融稳定。
Abstract We examine the optimal design of and interaction between capital and liquidity regulations. Banks, not internalizing fire sale externalities, overinvest in risky assets and underinvest in liquid assets in the competitive equilibrium. Capital requirements can alleviate the inefficiency, but banks respond by decreasing their liquidity ratios. When capital requirements are the only available tool, the regulator tightens them to offset banks’ lower liquidity ratios, leading to fewer risky assets and less liquidity compared with the second best. Macroprudential liquidity requirements that complement capital regulations implement the second best, improve financial stability, and allow for more investment in risky assets. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.