The Procyclical Effects of Bank Capital Regulation
通过动态均衡模型研究银行资本监管的顺周期效应，发现基于风险的资本要求（如巴塞尔II）下银行在扩张期持有更多缓冲，但不足以防止衰退期信贷大幅收缩，并指出调整置信水平可缓解顺周期影响。
We assess the procyclical effects of bank capital regulation in a dynamic equilibrium model of relationship lending in which banks are unable to access the equity markets every period. Banks anticipate that shocks to their earnings as well as the cyclical position of the economy can impair their capacity to lend in the future and, as a precaution, hold capital buffers. We find that under cyclically-varying risk-based capital requirements (e.g. Basel II) banks hold larger buffers in expansions than in recessions. Yet, these buffers are insufficient to prevent a significant contraction in the supply of credit at the arrival of a recession. We show that cyclical adjustments in the confidence level underlying Basel II can reduce its procyclical effects on the supply of credit without compromising banks’ long-run solvency targets.