2016年-BIS国际清算银行_Macroeconomics_of_bank_capital_and_liquidity_regulations_45页_958kb

Summary of "Macroeconomics of Bank Capital and Liquidity Regulations"

Core Content

This paper, authored by Frédéric Boissay and Fabrice Collard, investigates the macroeconomic effects of bank capital and liquidity regulations. It presents a quantitative general equilibrium model to analyze how these regulations influence credit supply, firm productivity, and overall economic welfare. The study highlights the interplay between capital and liquidity requirements and their potential synergies and tensions.

Main Points

• Regulatory Trade-off: The paper outlines a key trade-off faced by regulators: while capital and liquidity requirements reduce the aggregate supply of credit, they also improve the allocation of credit to more productive uses.

• Credit Quality vs. Credit Quantity: Capital regulations enhance the quality of credit supply by reducing leverage and encouraging more productive lending, whereas liquidity regulations reduce the quantity of credit by promoting the substitution of corporate loans with safer assets like government bonds.

• Agency Problem in Interbank Markets: The paper emphasizes the agency problem that arises in interbank markets, where banks may divert funds to low-return assets, undermining the efficiency of the financial system and the reallocation of savings toward productive banks.

• Role of Banks in Credit Allocation: Banks are portrayed as more than mere financial intermediaries; they provide firms with complementary services (e.g., advice, mentoring, strategic planning) that enhance firm productivity. This contrasts with "arm's length" investors such as bond holders, who do not offer such services.

• Empirical Evidence: The authors draw on empirical studies to support their model. For example, financial frictions are shown to distort capital allocation, reducing productivity in both developed and emerging economies.

• Optimal Regulatory Mix: The study concludes that both capital and liquidity requirements are necessary and must be relatively high. They are mutually reinforcing, except in cases where liquidity becomes scarce due to the demand from banks, which can lead to tensions.

• Model Structure: The paper develops a dynamic macroeconomic model with a focus on financial externalities and the interbank market. It incorporates a representative household, firms, banks, and a government agency. Financial skills of household members and bankers are modeled as idiosyncratic, affecting their ability to allocate resources efficiently.

• Key Equations and Variables:

  • Household Utility Maximization: The household maximizes expected utility over consumption, labor, investment, and savings.
  • Financial Transaction Costs: These are modeled as the difference between the total financial wealth and the net financial wealth, reflecting the inefficiencies in financial allocation.
  • Banking Sector: Banks are composed of atomistic members (bankers) who raise equity and deposits, and invest in corporate loans, government bonds, and interbank loans.
  • Interbank Loan Market: This market allows for the reallocation of funds among banks, but is subject to informational frictions and moral hazard.

Key Information

• Basel III's "Multiple Metrics" Framework: The analysis provides support for the Basel III approach, which incorporates both capital and liquidity requirements.

• Empirical Link to Productivity: The paper highlights the link between financial regulations and firm productivity, showing that well-functioning financial systems can significantly enhance allocative efficiency and total factor productivity.

• Dynamic and General Equilibrium Framework: The model is dynamic and general equilibrium in nature, capturing the endogenous responses of investors and firms to regulatory changes.

• Regulatory Synergies and Tensions: While capital and liquidity regulations often reinforce each other, they can also create tensions when liquidity becomes scarce, forcing investors to rebalance their portfolios toward deposits, which in turn affects capital ratios.

• Optimal Leverage Ratio: The authors find that the optimal leverage ratio is around 17%, which is relatively high. This result accounts for both the allocative effects of regulation and the interactions between capital and liquidity requirements.

Conclusion

The paper underscores the importance of considering both the quality and quantity of credit when designing banking regulations. It provides a theoretical and empirical foundation for understanding the effects of regulatory requirements on the macroeconomy, emphasizing the need for a balanced and coordinated approach to regulation. The model contributes to the broader literature on financial regulation by incorporating both capital and liquidity requirements in a dynamic, general equilibrium setting, and by highlighting the role of financial intermediaries in enhancing firm productivity.