Dynamic Prudential Regulation: Is Prompt Corrective Action Optimal?
通过构建银行家与监管者重复博弈的动态模型，研究了在信息不对称和有限承诺下，基于账面资本比率的即时纠正措施是否最优，并发现最优分配可通过风险存款保险费和随机清算的资本监管实现。
The current U.S. bank capital regulation features prompt corrective action, which mandates regulators to intervene in and liquidate banks based on their book-value capital ratios. To see if prompt corrective action is optimal, I build a dynamic model of repeated interactions between a banker and a regulator. Under hidden choice of risk, private information on returns and limited commitment by the banker, and costly liquidation, I first characterize the optimal incentive-feasible allocation. I then demonstrate that the optimal allocation is implementable through the combination of a risk-based deposit insurance premium and a book-value capital regulation with stochastic liquidation.