Monetary policy with a touch of Basel

被引:60
作者
Chami, Ralph [1 ]
Cosimano, Thomas F. [2 ]
机构
[1] Int Monetary Fund, Washington, DC 20431 USA
[2] Univ Notre Dame, Mendoza Coll Business, Dept Finance, Notre Dame, IN 46556 USA
关键词
Capital requirements; Monetary policy; Basel Accord;
D O I
10.1016/j.jeconbus.2009.12.001
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
The unfolding subprime crisis and the challenges facing central banks in using monetary policy to resolve the possible credit crunch, highlight the importance of understanding the relationship between monetary policy and risk-based capital requirements. We explore the implications of risk-based capital requirements, a la Basel, for the conduct of monetary policy. A "bank balancesheet channel" of monetary policy is identified, which operates through bank capital and influences the bank's loan decision. Using a dynamic banking model, we endogenize the capital decision and show that banks are likely to hold capital above the regulatory minimum to avoid being constrained. We derive the option value of holding capital, and show how this value is affected by monetary policy, level of economic activity, structure of the banking industry, and by changes in the level of regulatory capital. (C) 2010 Elsevier Inc. All rights reserved.
引用
收藏
页码:161 / 175
页数:15
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