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題名 Capital Adequacy and the Bank Lending Channel: Macroeconomic Implications
作者 蕭明福; Chang, Juin-jen ; Chen, Hung-Ju
貢獻者 經濟系
關鍵詞 Banking capital regulation; bank lending channel; the loan-deposit rate
日期 2013.06
上傳時間 14-May-2014 17:49:28 (UTC+8)
摘要 This paper develops an analytically tractable dynamic general-equilibrium model with a banking system to examine the macroeconomic implications of capital adequacy requirements. In contrast to the hypothesis of a credit crunch, we find that increasing the strength of bank capital requirements does not necessarily reduce the equilibrium quantity of loans, provided that banks have the option to respond to the capital requirements by accumulating more equity instead of cutting back on lending. Accordingly, we show that there is an inverted-U-shaped relationship between CAR and capital accumulation (and consumption). Furthermore, the optimal capital adequacy ratio for social-welfare maximization is lower than that for capital-accumulation maximization. In accordance with general empirical findings, the capital- accumulation maximizing capital adequacy ratio is procyclical with respect to economic conditions. We also find that monetary policy affects the real macroeconomic activities via the so-called bank lending channel, but the effectiveness of monetary policy is weakened by bank capital requirements.
關聯 Journal of Macroeconomics, 36, 121-137
資料類型 article
DOI http://dx.doi.org/10.1016/j.jmacro.2012.12.001
dc.contributor 經濟系en_US
dc.creator (作者) 蕭明福; Chang, Juin-jen ; Chen, Hung-Juzh_TW
dc.date (日期) 2013.06en_US
dc.date.accessioned 14-May-2014 17:49:28 (UTC+8)-
dc.date.available 14-May-2014 17:49:28 (UTC+8)-
dc.date.issued (上傳時間) 14-May-2014 17:49:28 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/66035-
dc.description.abstract (摘要) This paper develops an analytically tractable dynamic general-equilibrium model with a banking system to examine the macroeconomic implications of capital adequacy requirements. In contrast to the hypothesis of a credit crunch, we find that increasing the strength of bank capital requirements does not necessarily reduce the equilibrium quantity of loans, provided that banks have the option to respond to the capital requirements by accumulating more equity instead of cutting back on lending. Accordingly, we show that there is an inverted-U-shaped relationship between CAR and capital accumulation (and consumption). Furthermore, the optimal capital adequacy ratio for social-welfare maximization is lower than that for capital-accumulation maximization. In accordance with general empirical findings, the capital- accumulation maximizing capital adequacy ratio is procyclical with respect to economic conditions. We also find that monetary policy affects the real macroeconomic activities via the so-called bank lending channel, but the effectiveness of monetary policy is weakened by bank capital requirements.en_US
dc.format.extent 293394 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) Journal of Macroeconomics, 36, 121-137en_US
dc.subject (關鍵詞) Banking capital regulation; bank lending channel; the loan-deposit rateen_US
dc.title (題名) Capital Adequacy and the Bank Lending Channel: Macroeconomic Implicationsen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.jmacro.2012.12.001en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.jmacro.2012.12.001en_US