Optimal Dynamic Capital Requirements
在一个包含家庭、企业和银行违约的宏观银行模型中，基于欧元区数据校准，研究了福利最大化的资本要求政策，发现资本要求水平比其对违约风险的敏感性更重要。
Abstract We characterize welfare maximizing capital requirement policies in a quantitative macrobanking model with household, firm, and bank defaults calibrated to Euro Area data. We optimize on the level of the capital requirements applied to each loan class and their sensitivity to changes in default risk. We find that getting the level right (so that bank failure risk remains contained) is of foremost importance, while the optimal sensitivity to default risk is positive but typically smaller than under Basel internal ratings based (IRB) formulas. Starting from low levels, savers and borrowers benefit from higher capital requirements. At higher levels, only savers prefer tighter requirements.