Caught between Scylla and Charybdis? Regulating Bank Leverage When There Is Rent Seeking and Risk Shifting
本文构建了最优银行杠杆理论，权衡债务对贷款监控的激励与股权对风险转移的抑制，发现预期救助导致多重均衡和系统性风险，并提出双层资本要求来同时解决监控不足和资产替代两种道德风险。
We develop a theory of optimal bank leverage in which the benefit of debt in inducing loan monitoring is balanced against the benefit of equity in attenuating risk shifting. However, faced with socially costly correlated bank failures, regulators bail out creditors. Anticipation of this generates multiple equilibria, including one with systemic risk in which banks use excessive leverage to fund correlated, inefficiently risky loans. Limiting leverage and resolving both moral hazards—insufficient loan monitoring and asset substitution—requires a novel two-tiered capital requirement, including a “special capital account” that is unavailable to creditors upon failure. Received April 23, 2015; accepted September 16, 2015 by Editor Paolo Fulghieri.