Capital Regulation with Two Banking Sectors: Cyclicality and Implementation
研究了银行可在受监管与影子银行间选择时，最优资本要求政策可能是顺周期的：繁荣期要求低、衰退期要求高，并通过调节两部门相对规模实现最优风险暴露。
Abstract We present a capital regulation policy in a model in which banks can choose to be unregulated, by operating in the shadow banking sector, when the cost of being regulated (restriction on portfolio risk) exceeds the benefit (cheaper funding/insurance). We show that the welfare maximizing capital requirement policy can be procyclical: lower requirement during booms and higher requirement during recessions. Our policy specifies the level of capital requirement as a function of the observed relative size of the unregulated and regulated banking sectors. This specification achieves the optimal aggregate risk exposure by obtaining the right mix of the two sectors.