欧洲央行-资本缓冲能力的结构模型.pdfVIP

WorkingPaperSeries

JanHannesLang,DominikMennoAstructuralmodelofcapitalbuffer

usability

No3188

Disclaimer:ThispapershouldnotbereportedasrepresentingtheviewsoftheEuropeanCentralBank

(ECB).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheECB.

Abstract

Underwhichconditionsdousabilityconstraintsforregulatorycapital

buffersemerge?Toanswerthisquestion,webuildanon-linearstructural

bankingsectormodelwithaminimumcapitalrequirementthatbanksare

notallowedtobreach,andacapitalbufferrequirement(CBR)thatbanks

canbreachbutiftheydosopotentialstigmaapplies.Weprovethateven

verylowstigmacostsinducelargebufferusabilityconstraints,i.e.whenfaced

withlossesbankswilldeleveragesignificantlytoavoidthattheircapitalratio

fallsbelowtheCBR.Ourfindingsimplythatnon-releasbleregulatorycapital

buffersareunlikelytofullyachievetheirmacrostabilisationgoaltosupport

aggregateloansupplywhenthebankingsystemfaceslosses.

Keywords:Bankcapitalrequirements,capitalbuffers,loansupply,

macroprudentialpolicy,bufferusability

JELclassification:D21,E44,E51,G21,G28

ECBWorkingPaperSeriesNo31881

Non-technicalsummary

Asaresponsetotheglobalfinancialcrisis(GFC),theBaselIIIreformpackagefor

thebankingsystemintroducedaregulatorycapitalbufferrequirement(CBR)on

topoftheminimumregulatorycapitalrequirement.ThemaindifferenceofaCBR

com