Capital Regulation with Two Banking Sectors: Cyclicality and Implementation
Publication in refereed journal

香港中文大學研究人員
替代計量分析
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其它資訊
摘要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.
著者Taejin Kim, Vishal Mangla
期刊名稱Journal of Money, Credit and Banking
出版年份2019
月份3
卷號51
期次2-3
出版社Wiley
頁次485 - 537
國際標準期刊號0022-2879
電子國際標準期刊號1538-4616
語言美式英語

上次更新時間 2021-23-01 於 03:06