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دسته بندی:
بانکداری - Banking
سال انتشار:
2019
عنوان انگلیسی مقاله:
Capital regulation and banking bubbles
ترجمه فارسی عنوان مقاله:
تنظیم سرمایه و حباب های بانکی
منبع:
Sciencedirect - Elsevier - Journal of Mathematical Economics, 84 (2019) 117-129: doi:10:1016/j:jmateco:2019:07:009
نویسنده:
Claire Océane Chevallier a, Sarah El Joueidi b,a,∗
چکیده انگلیسی:
This paper develops a dynamic general equilibrium model in infinite horizon with a regulated
banking sector. We borrow the methodology of Miao and Wang (2015) to analyse how Basel capital
requirement recommendations may generate and affect banking bubbles and macroeconomic key
variables. We show that when banks face capital requirements based on credit risk, as in Basel I,
bubbles cannot exist. Alternatively, under a regulatory framework where capital requirements are
based on Value-at-Risk, as in Basel II and III, two different equilibria emerge and can coexist: the
bubbleless and the bubbly equilibria. Bubbles can be positive or negative, depending on the tightness of
capital requirements based on Value-at-Risk. We find a maximum value of capital requirement below
which bubbles are positive and provide a larger welfare compared to the bubbleless equilibrium. Our
results also suggest that a change in banking policies might lead to a crisis without external shocks
Keywords: Banking bubbles | Banking regulation | Dynamic general equilibrium | Infinitely lived agents | Value-at-risk | Capital requirements
قیمت: رایگان
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