摘要：This paper develops a stochastic dynamic model to examine the impact of capital
regulation on banks’ financial decisions. In equilibrium, lending decisions,
capital buffer, and the probability of bank failure are endogenously determined.
Compared to a flat-rate capital rule, a risk-sensitive capital standard causes
the capital requirement to be much higher for small (and riskier) banks and much
lower for large (and less risky) banks. Nevertheless, changes in actual capital
holdings are less pronounced due to the offsetting effect of capital buffers.
Moreover, the nonbinding capital constraint in equilibrium implies that banks
adopt an active portfolio strategy, and hence the countercyclical movement of
risk-based capital requirements does not necessarily lead to a reinforcement of
the credit cycle. In fact, the results from the calibrated model show that the
impact on cyclical lending behavior differs substantially across banks. Lastly,
the analysis suggests that the adoption of a more risk-sensitive capital regime
can be welfare improving from a regulator’s perspective, in that it causes less
distortion in loan decisions and achieves a better balance between safety and
efficiency.
