Capital Requirements and Business Cycles with Credit Market Imperfections
The business cycle effects of bank capital regulatory regimes are examined in a New Keynesian model with credit market imperfections and a cost channel of monetary policy. Key features of the model are that bank capital increases incentives for ban...
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| Format: | Policy Research Working Paper |
| Language: | English |
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2012
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| Online Access: | http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20091209152140 http://hdl.handle.net/10986/4344 |
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okr-10986-4344 |
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| recordtype |
oai_dc |
| repository_type |
Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English |
| topic |
ACCOUNTING ACCOUNTING PRINCIPLES ADVERSE SELECTION AGGREGATE DEMAND AGGREGATE SUPPLY AMOUNT OF LOANS ARBITRAGE ASSET PRICE ASSET PRICES ASSET QUALITY ASYMMETRIC INFORMATION BALANCE SHEET BANK BEHAVIOR BANK BORROWING BANK CAPITAL BANK COMPETITION BANK DEBT BANK DEPOSITS BANK EQUITY BANK LENDING BANK LIQUIDATION BANK LIQUIDITY BANK LOANS BANK MONITORING BANK OF CANADA BANK OF ENGLAND BANK OF SPAIN BANK POLICY BANK PROFITS BANK REGULATION BANKS BANQUE DE FRANCE BOND BORROWER BORROWING COSTS BUDGET CONSTRAINT BUSINESS CYCLE BUSINESS CYCLES CAPITAL ACCUMULATION CAPITAL ADEQUACY CAPITAL GAINS CAPITAL NEEDS CAPITAL REGULATION CAPITAL REQUIREMENT CAPITAL REQUIREMENTS CASH BALANCES CASH FLOWS CASH HOLDINGS CASH MARKETS CENTRAL BANK CENTRAL BANKING CLOSED ECONOMY COLLATERAL COMMERCIAL BANK COMPARATIVE ECONOMICS COMPETITIVE MARKET CONTRACT ENFORCEMENT COST OF CAPITAL COST OF FUNDS CREDIT CRUNCHES CREDIT MARKET CREDIT MARKETS CURRENCY DEBT DEBT RATIO DEFAULT PROBABILITY DEFAULT RISK DEMAND FOR BONDS DEMAND FOR CAPITAL DEMAND FOR CREDIT DEPOSIT DEPOSIT RATE DEPOSITORS DEPOSITS DEVELOPING COUNTRIES DEVELOPMENT ECONOMICS DISCOUNTED VALUE DIVIDEND DIVIDENDS ECONOMIC ACTIVITY ECONOMIC FLUCTUATIONS ELASTICITY ELASTICITY OF DEMAND ELASTICITY OF SUBSTITUTION ENDOGENOUS VARIABLES EQUILIBRIUM EQUITY CAPITAL EQUITY HOLDINGS EQUITY MARKET EQUITY PRICE EXPECTED RETURN EXPOSURE EXTERNAL SHOCKS FINANCIAL ASSETS FINANCIAL CRISIS FINANCIAL INTERMEDIARIES FINANCIAL INTERMEDIATION FINANCIAL MARKET FINANCIAL SAFETY FINANCIAL SAFETY NETS FINANCIAL SECTOR FINANCIAL STABILITY FINANCIAL STRUCTURE FINANCIAL SYSTEM GOVERNMENT BONDS GOVERNMENT SPENDING GROWTH RATE HOLDING HOLDINGS OF BANK HOUSEHOLD DEPOSITS HOUSEHOLDS HOUSING INDIRECT COST INDUSTRIAL ECONOMIES INFLATION INFLATION RATE INTEREST INCOME INTEREST PAYMENTS INTEREST RATE INTEREST RATES INTERNATIONAL BANK LABOR COSTS LABOR HOURS LENDERS LIMITED LIABILITY LOAN LOAN APPLICANTS LOAN CONTRACT LOAN DEFAULT LOAN PORTFOLIO LOAN PORTFOLIOS LOAN RATE LOAN RATES LOANABLE FUNDS MACROECONOMICS MARGINAL COST MARGINAL COSTS MARGINAL PRODUCT MARGINAL PRODUCTIVITY MARGINAL UTILITY MARGINAL UTILITY OF CONSUMPTION MARK-TO-MARKET MARKET PRICING MARKET RISKS MATURITY MATURITY PERIOD MIDDLE-INCOME COUNTRIES MIDDLE-INCOME COUNTRY MONETARY ASSET MONETARY ASSETS MONETARY FUND MONETARY POLICY MONETARY SHOCKS MONEY SUPPLY MORAL HAZARD MORTGAGE MORTGAGE LENDING MORTGAGE MARKET NEGATIVE SHOCK NET WORTH NOMINAL PRICES NOMINAL YIELD NONPERFORMING LOANS OPEN ECONOMIES OPEN-MARKET OPERATIONS OPPORTUNITY COST OPTIMIZATION OUTPUT OUTPUT GAP OUTSTANDING AMOUNT OUTSTANDING LOANS OUTSTANDING STOCK PARTIAL EQUILIBRIUM ANALYSIS PERISHABLE GOOD PHILLIPS CURVE PHYSICAL ASSETS PHYSICAL CAPITAL POLICY RESPONSE POOL OF BORROWERS PORTFOLIO ALLOCATION POSSIBILITY OF DEFAULT PROBABILITY OF DEFAULT PROBABILITY OF REPAYMENT PRODUCTION COSTS PRODUCTION FUNCTION PRODUCTIVITY PROFITABILITY PRUDENTIAL REGULATION PRUDENTIAL SUPERVISION PUBLIC SPENDING RATE OF RETURN RATES OF RETURN REAL INTEREST REAL INTEREST RATE RECESSION RECESSIONS REDEMPTION REGULATORY CAPITAL REGULATORY REGIME REGULATORY REGIMES REGULATORY SCRUTINY REPAYMENT RESERVE RESERVE REQUIREMENT RESERVE REQUIREMENTS RESERVES RETAINED EARNINGS RETURN RETURN ON EQUITY RETURNS RISK OF DEFAULT RISK OF LOAN RISK PREMIUM RISK TAKING RISK WEIGHT RISK WEIGHTS RISKY ASSET SCALE EFFECT SECURITIES SHARE OF EQUITY SHARE PRICE SHAREHOLDERS STOCKS SUPPLY OF CREDIT TAX TAX REVENUES TRANSACTIONS COSTS TRANSITION ECONOMIES VALUE OF COLLATERAL WAGES WEALTH WORKING CAPITAL |
| spellingShingle |
ACCOUNTING ACCOUNTING PRINCIPLES ADVERSE SELECTION AGGREGATE DEMAND AGGREGATE SUPPLY AMOUNT OF LOANS ARBITRAGE ASSET PRICE ASSET PRICES ASSET QUALITY ASYMMETRIC INFORMATION BALANCE SHEET BANK BEHAVIOR BANK BORROWING BANK CAPITAL BANK COMPETITION BANK DEBT BANK DEPOSITS BANK EQUITY BANK LENDING BANK LIQUIDATION BANK LIQUIDITY BANK LOANS BANK MONITORING BANK OF CANADA BANK OF ENGLAND BANK OF SPAIN BANK POLICY BANK PROFITS BANK REGULATION BANKS BANQUE DE FRANCE BOND BORROWER BORROWING COSTS BUDGET CONSTRAINT BUSINESS CYCLE BUSINESS CYCLES CAPITAL ACCUMULATION CAPITAL ADEQUACY CAPITAL GAINS CAPITAL NEEDS CAPITAL REGULATION CAPITAL REQUIREMENT CAPITAL REQUIREMENTS CASH BALANCES CASH FLOWS CASH HOLDINGS CASH MARKETS CENTRAL BANK CENTRAL BANKING CLOSED ECONOMY COLLATERAL COMMERCIAL BANK COMPARATIVE ECONOMICS COMPETITIVE MARKET CONTRACT ENFORCEMENT COST OF CAPITAL COST OF FUNDS CREDIT CRUNCHES CREDIT MARKET CREDIT MARKETS CURRENCY DEBT DEBT RATIO DEFAULT PROBABILITY DEFAULT RISK DEMAND FOR BONDS DEMAND FOR CAPITAL DEMAND FOR CREDIT DEPOSIT DEPOSIT RATE DEPOSITORS DEPOSITS DEVELOPING COUNTRIES DEVELOPMENT ECONOMICS DISCOUNTED VALUE DIVIDEND DIVIDENDS ECONOMIC ACTIVITY ECONOMIC FLUCTUATIONS ELASTICITY ELASTICITY OF DEMAND ELASTICITY OF SUBSTITUTION ENDOGENOUS VARIABLES EQUILIBRIUM EQUITY CAPITAL EQUITY HOLDINGS EQUITY MARKET EQUITY PRICE EXPECTED RETURN EXPOSURE EXTERNAL SHOCKS FINANCIAL ASSETS FINANCIAL CRISIS FINANCIAL INTERMEDIARIES FINANCIAL INTERMEDIATION FINANCIAL MARKET FINANCIAL SAFETY FINANCIAL SAFETY NETS FINANCIAL SECTOR FINANCIAL STABILITY FINANCIAL STRUCTURE FINANCIAL SYSTEM GOVERNMENT BONDS GOVERNMENT SPENDING GROWTH RATE HOLDING HOLDINGS OF BANK HOUSEHOLD DEPOSITS HOUSEHOLDS HOUSING INDIRECT COST INDUSTRIAL ECONOMIES INFLATION INFLATION RATE INTEREST INCOME INTEREST PAYMENTS INTEREST RATE INTEREST RATES INTERNATIONAL BANK LABOR COSTS LABOR HOURS LENDERS LIMITED LIABILITY LOAN LOAN APPLICANTS LOAN CONTRACT LOAN DEFAULT LOAN PORTFOLIO LOAN PORTFOLIOS LOAN RATE LOAN RATES LOANABLE FUNDS MACROECONOMICS MARGINAL COST MARGINAL COSTS MARGINAL PRODUCT MARGINAL PRODUCTIVITY MARGINAL UTILITY MARGINAL UTILITY OF CONSUMPTION MARK-TO-MARKET MARKET PRICING MARKET RISKS MATURITY MATURITY PERIOD MIDDLE-INCOME COUNTRIES MIDDLE-INCOME COUNTRY MONETARY ASSET MONETARY ASSETS MONETARY FUND MONETARY POLICY MONETARY SHOCKS MONEY SUPPLY MORAL HAZARD MORTGAGE MORTGAGE LENDING MORTGAGE MARKET NEGATIVE SHOCK NET WORTH NOMINAL PRICES NOMINAL YIELD NONPERFORMING LOANS OPEN ECONOMIES OPEN-MARKET OPERATIONS OPPORTUNITY COST OPTIMIZATION OUTPUT OUTPUT GAP OUTSTANDING AMOUNT OUTSTANDING LOANS OUTSTANDING STOCK PARTIAL EQUILIBRIUM ANALYSIS PERISHABLE GOOD PHILLIPS CURVE PHYSICAL ASSETS PHYSICAL CAPITAL POLICY RESPONSE POOL OF BORROWERS PORTFOLIO ALLOCATION POSSIBILITY OF DEFAULT PROBABILITY OF DEFAULT PROBABILITY OF REPAYMENT PRODUCTION COSTS PRODUCTION FUNCTION PRODUCTIVITY PROFITABILITY PRUDENTIAL REGULATION PRUDENTIAL SUPERVISION PUBLIC SPENDING RATE OF RETURN RATES OF RETURN REAL INTEREST REAL INTEREST RATE RECESSION RECESSIONS REDEMPTION REGULATORY CAPITAL REGULATORY REGIME REGULATORY REGIMES REGULATORY SCRUTINY REPAYMENT RESERVE RESERVE REQUIREMENT RESERVE REQUIREMENTS RESERVES RETAINED EARNINGS RETURN RETURN ON EQUITY RETURNS RISK OF DEFAULT RISK OF LOAN RISK PREMIUM RISK TAKING RISK WEIGHT RISK WEIGHTS RISKY ASSET SCALE EFFECT SECURITIES SHARE OF EQUITY SHARE PRICE SHAREHOLDERS STOCKS SUPPLY OF CREDIT TAX TAX REVENUES TRANSACTIONS COSTS TRANSITION ECONOMIES VALUE OF COLLATERAL WAGES WEALTH WORKING CAPITAL Agénor, P.-R. Alper, K. Pereira da Silva, L. Capital Requirements and Business Cycles with Credit Market Imperfections |
| geographic_facet |
The World Region The World Region |
| relation |
Policy Research working paper ; no. WPS 5151 |
| description |
The business cycle effects of bank
capital regulatory regimes are examined in a New Keynesian
model with credit market imperfections and a cost channel of
monetary policy. Key features of the model are that bank
capital increases incentives for banks to monitor borrowers,
thereby reducing the probability of default, and excess
capital generates benefits in terms of reduced regulatory
scrutiny. Basel I and Basel II-type regulatory regimes are
defined, and the model is calibrated for a middle-income
country. Simulations of supply and demand shocks show that,
depending on the elasticity that relates the repayment
probability to the capital-loan ratio, a Basel II-type
regime may be less procyclical than a Basel I-type regime. |
| format |
Publications & Research :: Policy Research Working Paper |
| author |
Agénor, P.-R. Alper, K. Pereira da Silva, L. |
| author_facet |
Agénor, P.-R. Alper, K. Pereira da Silva, L. |
| author_sort |
Agénor, P.-R. |
| title |
Capital Requirements and Business Cycles with Credit Market Imperfections |
| title_short |
Capital Requirements and Business Cycles with Credit Market Imperfections |
| title_full |
Capital Requirements and Business Cycles with Credit Market Imperfections |
| title_fullStr |
Capital Requirements and Business Cycles with Credit Market Imperfections |
| title_full_unstemmed |
Capital Requirements and Business Cycles with Credit Market Imperfections |
| title_sort |
capital requirements and business cycles with credit market imperfections |
| publishDate |
2012 |
| url |
http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20091209152140 http://hdl.handle.net/10986/4344 |
| _version_ |
1764391015115915264 |
| spelling |
okr-10986-43442021-04-23T14:02:17Z Capital Requirements and Business Cycles with Credit Market Imperfections Agénor, P.-R. Alper, K. Pereira da Silva, L. ACCOUNTING ACCOUNTING PRINCIPLES ADVERSE SELECTION AGGREGATE DEMAND AGGREGATE SUPPLY AMOUNT OF LOANS ARBITRAGE ASSET PRICE ASSET PRICES ASSET QUALITY ASYMMETRIC INFORMATION BALANCE SHEET BANK BEHAVIOR BANK BORROWING BANK CAPITAL BANK COMPETITION BANK DEBT BANK DEPOSITS BANK EQUITY BANK LENDING BANK LIQUIDATION BANK LIQUIDITY BANK LOANS BANK MONITORING BANK OF CANADA BANK OF ENGLAND BANK OF SPAIN BANK POLICY BANK PROFITS BANK REGULATION BANKS BANQUE DE FRANCE BOND BORROWER BORROWING COSTS BUDGET CONSTRAINT BUSINESS CYCLE BUSINESS CYCLES CAPITAL ACCUMULATION CAPITAL ADEQUACY CAPITAL GAINS CAPITAL NEEDS CAPITAL REGULATION CAPITAL REQUIREMENT CAPITAL REQUIREMENTS CASH BALANCES CASH FLOWS CASH HOLDINGS CASH MARKETS CENTRAL BANK CENTRAL BANKING CLOSED ECONOMY COLLATERAL COMMERCIAL BANK COMPARATIVE ECONOMICS COMPETITIVE MARKET CONTRACT ENFORCEMENT COST OF CAPITAL COST OF FUNDS CREDIT CRUNCHES CREDIT MARKET CREDIT MARKETS CURRENCY DEBT DEBT RATIO DEFAULT PROBABILITY DEFAULT RISK DEMAND FOR BONDS DEMAND FOR CAPITAL DEMAND FOR CREDIT DEPOSIT DEPOSIT RATE DEPOSITORS DEPOSITS DEVELOPING COUNTRIES DEVELOPMENT ECONOMICS DISCOUNTED VALUE DIVIDEND DIVIDENDS ECONOMIC ACTIVITY ECONOMIC FLUCTUATIONS ELASTICITY ELASTICITY OF DEMAND ELASTICITY OF SUBSTITUTION ENDOGENOUS VARIABLES EQUILIBRIUM EQUITY CAPITAL EQUITY HOLDINGS EQUITY MARKET EQUITY PRICE EXPECTED RETURN EXPOSURE EXTERNAL SHOCKS FINANCIAL ASSETS FINANCIAL CRISIS FINANCIAL INTERMEDIARIES FINANCIAL INTERMEDIATION FINANCIAL MARKET FINANCIAL SAFETY FINANCIAL SAFETY NETS FINANCIAL SECTOR FINANCIAL STABILITY FINANCIAL STRUCTURE FINANCIAL SYSTEM GOVERNMENT BONDS GOVERNMENT SPENDING GROWTH RATE HOLDING HOLDINGS OF BANK HOUSEHOLD DEPOSITS HOUSEHOLDS HOUSING INDIRECT COST INDUSTRIAL ECONOMIES INFLATION INFLATION RATE INTEREST INCOME INTEREST PAYMENTS INTEREST RATE INTEREST RATES INTERNATIONAL BANK LABOR COSTS LABOR HOURS LENDERS LIMITED LIABILITY LOAN LOAN APPLICANTS LOAN CONTRACT LOAN DEFAULT LOAN PORTFOLIO LOAN PORTFOLIOS LOAN RATE LOAN RATES LOANABLE FUNDS MACROECONOMICS MARGINAL COST MARGINAL COSTS MARGINAL PRODUCT MARGINAL PRODUCTIVITY MARGINAL UTILITY MARGINAL UTILITY OF CONSUMPTION MARK-TO-MARKET MARKET PRICING MARKET RISKS MATURITY MATURITY PERIOD MIDDLE-INCOME COUNTRIES MIDDLE-INCOME COUNTRY MONETARY ASSET MONETARY ASSETS MONETARY FUND MONETARY POLICY MONETARY SHOCKS MONEY SUPPLY MORAL HAZARD MORTGAGE MORTGAGE LENDING MORTGAGE MARKET NEGATIVE SHOCK NET WORTH NOMINAL PRICES NOMINAL YIELD NONPERFORMING LOANS OPEN ECONOMIES OPEN-MARKET OPERATIONS OPPORTUNITY COST OPTIMIZATION OUTPUT OUTPUT GAP OUTSTANDING AMOUNT OUTSTANDING LOANS OUTSTANDING STOCK PARTIAL EQUILIBRIUM ANALYSIS PERISHABLE GOOD PHILLIPS CURVE PHYSICAL ASSETS PHYSICAL CAPITAL POLICY RESPONSE POOL OF BORROWERS PORTFOLIO ALLOCATION POSSIBILITY OF DEFAULT PROBABILITY OF DEFAULT PROBABILITY OF REPAYMENT PRODUCTION COSTS PRODUCTION FUNCTION PRODUCTIVITY PROFITABILITY PRUDENTIAL REGULATION PRUDENTIAL SUPERVISION PUBLIC SPENDING RATE OF RETURN RATES OF RETURN REAL INTEREST REAL INTEREST RATE RECESSION RECESSIONS REDEMPTION REGULATORY CAPITAL REGULATORY REGIME REGULATORY REGIMES REGULATORY SCRUTINY REPAYMENT RESERVE RESERVE REQUIREMENT RESERVE REQUIREMENTS RESERVES RETAINED EARNINGS RETURN RETURN ON EQUITY RETURNS RISK OF DEFAULT RISK OF LOAN RISK PREMIUM RISK TAKING RISK WEIGHT RISK WEIGHTS RISKY ASSET SCALE EFFECT SECURITIES SHARE OF EQUITY SHARE PRICE SHAREHOLDERS STOCKS SUPPLY OF CREDIT TAX TAX REVENUES TRANSACTIONS COSTS TRANSITION ECONOMIES VALUE OF COLLATERAL WAGES WEALTH WORKING CAPITAL The business cycle effects of bank capital regulatory regimes are examined in a New Keynesian model with credit market imperfections and a cost channel of monetary policy. Key features of the model are that bank capital increases incentives for banks to monitor borrowers, thereby reducing the probability of default, and excess capital generates benefits in terms of reduced regulatory scrutiny. Basel I and Basel II-type regulatory regimes are defined, and the model is calibrated for a middle-income country. Simulations of supply and demand shocks show that, depending on the elasticity that relates the repayment probability to the capital-loan ratio, a Basel II-type regime may be less procyclical than a Basel I-type regime. 2012-03-19T19:14:26Z 2012-03-19T19:14:26Z 2009-12-01 http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20091209152140 http://hdl.handle.net/10986/4344 English Policy Research working paper ; no. WPS 5151 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank Publications & Research :: Policy Research Working Paper The World Region The World Region |