Long-term bank lending and the transfer of aggregate risk
研究了长期贷款合同如何将总体风险从借款企业转移给银行，并分析了银行资本充足率对经济稳定和福利的影响，基于美国数据校准的宏观经济模型发现巴塞尔III资本监管能消除银行危机并提高长期产出和福利。
Long-term loan contracts transfer aggregate risk from borrowing firms to lending banks. When aggregate shocks increase the future default probability of firms, banks are not compensated for the rising default risk of existing contracts. The flip side is that firms benefit from not facing higher interest rates in recessions. If banks are highly leveraged, this can lead to financial instability with severe repercussions in the real economy. If banks are well capitalized, the risk transfer stabilizes the economy. To study this mechanism quantitatively, we build a macroeconomic model of financial intermediation with long-term defaultable loan contracts and calibrate it to match aggregate firm and bank exposure to business cycle risks in the US. We find that moving from Basel II to Basel III capital regulation eliminates banking crises, increases output in the long run and improves welfare.