مقررات سرمایه و سیاست پولی با بانک های آسیب پذیر

Optimizing banks subject to runs are introduced in a macro model to study the transmission of monetary policy and its interplay with bank capital regulation when banks are risky. A monetary expansion and a positive productivity shock increase bank leverage and risk. Risk-based capital requirements amplify the cycle and are welfare detrimental. Within a class of simple policy rules, the best combination includes mildly anticyclical capital ratios (as in Basel III) and a response of monetary policy to asset prices or bank leverage.

The financial crisis is producing, among other consequences, a change in perception on the roles of financial regulation and monetary policy. The pre-crisis common wisdom sounded roughly like this. Capital requirements and other micro-prudential instruments were supposed to ensure, at least with high probability, the solvency of individual banks, with the implicit tenet that stable banks would automatically translate into a stable financial system. On the other side, monetary policy should largely disregard financial matters and concentrate on pursuing price stability (a low and stable consumer price inflation) over some appropriate time horizon. The recent experience is changing this accepted wisdom in two ways. On the one hand, the traditional formal requirements for individual bank solvency (asset quality and adequate capital) are no longer seen as sufficient for systemic stability; regulators are increasingly called to adopt a macro-prudential approach. 2 On the other, some suggest that monetary policy should help control systemic risks in the financial sector. This crisis has demonstrated that such risks can have disruptive implications for output and price stability, and there is growing evidence that monetary policy influences the degree of riskiness of the financial sector. 3 These ideas suggest the possibility of interactions between the conduct of monetary policy and that of prudential regulation. Our goal in this paper is to study how bank regulation and monetary policy interact in a macroeconomy that includes a fragile banking system.4 To do this one needs a model that rigorously incorporates state-of-the art banking theory in a general equilibrium macro framework and also incorporates some key elements of financial fragility experienced in the recent crisis. In our model, whose banking core is adapted from Diamond and Rajan, 2000 and Diamond and Rajan, 2001, banks have special skills in redeploying projects in case of early liquidation. Uncertainty in projects outcomes injects risk in banks' balance sheets. Banks are financed with deposits and capital; bank managers optimize the bank capital structure by maximizing the combined return of depositors and capitalists. Banks are exposed to runs, with a probability that increases with their degree of leverage. The desired capital structure is determined by trading-off balance sheet risk with the ability to obtain higher returns for outside investors in “good states” (no run), which increase with the share of deposits in the bank's liability side. Our bank's optimal leverage is positively related to: (1) the bank expected return on assets; (2) the uncertainty of project outcomes; (3) the banks' skills in liquidating projects, and negatively related to (4) the return on bank deposits. The intuition is that increases in (1), (2) and (3) raise the return to outside bank investors of a unitary increase in deposits, the first by increasing the expected return in good states (no run), the second by reducing its cost in bad states (run), the third by increasing the expected return relative to the cost between the two states. Inserting this banking core into a macro model yields a number of results. A monetary expansion or a positive productivity shock increase bank leverage and risk. The transmission from productivity changes to bank risk is stronger when the perceived riskiness of the projects financed by the bank is low. Pro-cyclical capital requirements (akin to those in the Basel II capital accord) amplify the response of output and inflation to other shocks, thereby increasing output and inflation volatility, and reduce welfare. Conversely, anti-cyclical ratios, requiring banks to build up capital buffers in more expansionary phases of the cycle, have the opposite effect. Within a class of simple policy rules, the optimal combination includes mildly anti-cyclical capital requirements and a monetary policy that responds rather aggressively to inflation and also reacts systematically to financial market conditions—either to asset prices or to bank leverage. The rest of the paper is as follows: Section 2 provides an overview of the related literature. Section 3 describes the model, with emphasis on the banking bloc. Section 4 characterizes the quantitative properties of the model. Section 5 discusses the effect of introducing regulatory capital ratios. Section 6 examines the performance of alternative monetary policy rules combined with different bank capital regimes. Section 7 concludes. Proofs, model details, other sensitivity or empirical analyses are contained in appendices.5

Views on how to conduct macro policies are changing rapidly, and well-established paradigms are being questioned. One concerns the interaction between prudential regulation and monetary policy. The earlier consensus according to which the two policies should be conducted in isolation, each pursuing its goal using separate instruments and information sets, is increasingly challenged. After years of glimpsing at each other from the distance, monetary policy and prudential regulation – though still unmarried – are moving in together, and this opens up new exciting research horizons, highly relevant at a time in which central banks on both sides of the Atlantic are acquiring new responsibilities in the area of financial stability. This paper moves a step forward by constructing a macro-model that integrates risky banks and using it to analyze the effect of monetary policy when banks are fragile and the way monetary policy and bank capital regulation can be conducted as a coherent whole. Our conclusions support the introduction of anti-cyclical capital requirements and an active use of monetary policy reacting also to financial conditions.