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ID:34133364
大小:396.30 KB
页数:29页
时间:2019-03-04
《A MODEL OF BANK CAPITAL, LENDING AND THE.pdf》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、TheManchesterSchoolSupplement20061463–678650–77AMODELOFBANKCAPITAL,LENDINGANDTHEMACROECONOMY:BASELIVERSUSBASELII*byLEAZICCHINOBankofEnglandTherevisedframeworkforcapitalregulationofinternationallyactivebanks(knownasBaselII)introducesrisk-basedcapitalrequirements.Thispaperanalyses
2、therelationshipbetweenbankcapital,lendingandmacroeconomicactivityunderthenewcapitaladequacyregime.ItextendsamodelofthebankcapitalchannelofmonetarypolicydevelopedbyChamiandCosimanobyintroducingcapitalconstraintsàlaBaselII.Theresultssuggestthatbankcapitalislikelytobelessvariableun
3、derthenewcapitaladequacyregimethanunderthecurrentone,whichischaracterizedbyinvariantassetrisk-weights.However,banklendingislikelytobemoreresponsivetomacroeconomicshocks.1IntroductionTheaimofthispaperistoanalysetherelationshipbetweenmacroeconomicconditions,bankcapitalandlendingwh
4、enbanksaresubjecttorisk-sensitive1capitaladequacyrequirementsasenvisagedinthenewBaselproposals.TheprocessofreformingtheBaselAccord,begunin1999,hasbeenmotivatedbythegoalofmorecloselymatchingregulatorycapitaltotheriskprofileofbanksassetportfolios.Therationaleforminimumcapitalrequir
5、e-mentsisthattheymitigatefinancialinstitutionsmoralhazard.Regulatorsareimposingacostonbankownerstoencouragethemtoavoidcostlydefault.Butthelimitednumberofriskcategoriesinthecurrentframeworkhascreatedopportunitiesforbankstoincreasetherisktowhichtheyareexposedwithoutincreasingtheamo
6、untofregulatorycapital.Thereareanumberofwaysinwhichbanksareabletoengageincapitalarbitrage.Forexample,bankscansellorsecuritizethoseassetsforwhichtheregulatorycapitalchargeisbelievedtobehigherthantheonemarketswouldimposewhilekeepingonthebookspoorerqualityassetsforwhichtheregulator
7、ycapitalchargeisrelativelylow.ThenewBaselAccordiswidelyrecognizedasamuchneededefforttodealwiththeshortcomingsofthecurrentsystem.Byrealigningcapital*ThispaperrepresentstheviewsandanalysisoftheauthorandshouldnotbethoughttorepresentthoseoftheBankofEngland.IwouldliketothankRalphCham
8、i,CharlesGoodhart,GlennHoggarth,ErlendNier,Hyun
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