Procyclical Capital Regulation and Lending

被引：119

作者：

Behn, Markus ^{[1
]}

Haselmann, Rainer ^{[2
]}

Wachtel, Paul ^{[3
]}

机构：

[1] European Cent Bank, Frankfurt, Germany

[2] Goethe Univ Frankfurt, Frankfurt, Germany

[3] NYU, Stern Sch Business, New York, NY 10003 USA

来源：

JOURNAL OF FINANCE | 2016年 / 71卷 / 02期

关键词：

capital regulation; credit crunch; financial crisis; procyclicality; JEL classification: G01; G21; G28; MONETARY-POLICY; RISK; REQUIREMENTS; TRANSMISSION; BANKING; CRUNCH; SAY;

D O I：

10.1111/jofi.12368

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We use a quasi-experimental research design to examine the effect of model-based capital regulation on the procyclicality of bank lending and firms' access to funds. In response to an exogenous shock to credit risk in the German economy, capital charges for loans under model-based regulation increased by 0.5percentage points. As a consequence, banks reduced the amount of these loans by 2.1 to 3.9percentage points more than for loans under the traditional approach with fixed capital charges. We find an even stronger effect when we examine aggregate firm borrowing, suggesting that microprudential capital regulation can have sizeable real effects.

引用

页码：919 / 956

页数：38

共 54 条

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