کفایت سرمایه و کانال وام دهی بانک : پیامدهای اقتصاد کلان

This paper develops an analytically tractable dynamic general-equilibrium model with a banking system to examine the macroeconomic implications of capital adequacy requirements. In contrast to the hypothesis of a credit crunch, we find that increasing the strength of bank capital requirements does not necessarily reduce the equilibrium quantity of loans, provided that banks have the option to respond to the capital requirements by accumulating more equity instead of cutting back on lending. Accordingly, we show that there is an inverted-U-shaped relationship between CAR and capital accumulation (and consumption). Furthermore, the optimal capital adequacy ratio for social-welfare maximization is lower than that for capital-accumulation maximization. In accordance with general empirical findings, the capital-accumulation maximizing capital adequacy ratio is procyclical with respect to economic conditions. We also find that monetary policy affects the real macroeconomic activities via the so-called bank lending channel, but the effectiveness of monetary policy is weakened by bank capital requirements.

Capital adequacy requirements (CAR) have become one of the most important banking regulations ever since more than 100 countries world-wide adopted the 1988 Basel Accords. Originally, the goal of the Basel Committee was to strengthen the stability of the international banking system by encouraging banking institutions to boost their capital positions (Basel Committee on Banking Supervision, 1999). Nowadays, CAR are the most common regulation in the banking industry in both developed and developing countries,1 and as a result bank capital has become an important factor in bank asset–liability management and its importance has continued to increase.2 For example, the credit crunch in the US was at least viewed partly as a consequence of banks’ scrambling to meet the 1992 deadline for CAR under the 1988 Basel agreement (Bernanke and Lown, 1991). Even though more than 16 years have passed since the regulation began to be implemented, its macro-oriented implications are not completely addressed. Despite the relatively large body of empirical literature that has focused on the related issues, there have been no definitive conclusions with regard to them.3 In the literature, most studies dealing with CAR focus on a bank-level analysis of portfolio risk (Koehn and Santomero, 1980, Kim and Santomero, 1988 and Keeley and Furlong, 1990), the probability of failure (Dewatripont and Tirole, 1994), and the role of information asymmetries (Repullo and Suarez, 2000). Their analyses largely emphasize the informational microfoundations that are confined to a partial-equilibrium setting without taking into consideration the interactions between markets.4 Few studies attempt to analyze the monetary policy implications and macroeconomic performance of CAR. The main reason for this neglect is that traditional monetary theory has mostly, if not entirely, ignored the role played by bank equity. The bank-related analyses that account for how monetary policy affects the real economy usually emphasize the so-called bank lending channel (the channel of interaction between bank lending and the real sector) and restrict their focus on the role of reserves (or reserve requirements) in determining the volume of bank loans, while treating bank capital as predetermined. However, as criticized by Friedman (1991), “[t]raditionally, most economists have regarded the fact that banks hold capital as at best a macroeconomic irrelevance and at worst a pedagogical inconvenience.” This traditional simplification stands in stark contrast to the importance attached to capital adequacy in the regulation of banks, and thereby gives rise to the difficulty in addressing important CAR-related issues. In this paper, we develop an analytically tractable dynamic general-equilibrium framework to systematically examine the macroeconomic implications of CAR. One of the earliest attempts to examine the macroeconomic implications of CAR was Blum and Hellwig (1995). Under specific parameter configurations, they argue that CAR may potentially amplify demand-side shocks. By following this line of research, Cecchetti and Li (2008) further suggest that CAR can also reinforce the effects of supply-side shocks. Seater (2001) points out that coordinated bank regulation and monetary policy influence both the mean and variance of aggregate output. Although insightful, the results of these studies are based on ad hoc IS-LM-style macro models that fail to fully account for endogenous responses of the banking system to regulation. Moreover, their work lacks a micro-foundation, and hence they are unable to perform a welfare analysis. By contrast, Van den Heuvel (2008) constructs a quantitative dynamic model and calibrates the model to US banking data in order to perform a numerical analysis. He finds that the welfare cost of increasing CAR by 10% is equivalent to a permanent loss of consumption of at least 0.1–0.2%. By analogy, Aliaga-Díaz (2005) performs numerical simulations, and his results suggest that banks attempt to anticipate aggregate shocks by accumulating a buffer of capital over the regulatory minimum. The analytical framework in this paper not only complements the earlier research cited above, but also allows us to provide the intuition on the macroeconomic effects of CAR. Financial intermediation requires real resource costs and provides firms with productive financial services, which give rise to an endogenous loan-deposit spread that affects the real-sector consumption and capital accumulation via the bank lending channel. The analytically tractable model allows us to examine the relationship between the CAR and capital accumulation (and consumption) and to highlight the important connections between the strength of the lending channel and the level of CAR in both positive and normative perspectives. The normative analysis is particularly important, since it is a new theoretical attempt to come up with the optimal level of CAR in terms of welfare maximization and capital-accumulation maximization.5 Our theoretical analysis provides new insights into the assessment of the effects of CAR that have never been considered in a formal theoretical setting before. There are three main results. The first is that increasing the strength of CAR does not necessarily reduce the equilibrium volume of loans, provided that banks have the option to respond to capital requirements by accumulating more equity as opposed to cutting back on lending. This result does not support the hypothesis of a credit crunch.6 Given such a result, we show that there is an inverted-U-shaped relationship between CAR and capital accumulation (and consumption), which also stands in sharp contrast to the traditional prediction (see, for example, Santomero and Watson, 1977). The initial level of CAR is crucial in terms of governing the relationship between bank capital regulation and capital accumulation (or consumption). If the strength of CAR is relatively high, then increasing the level of CAR will cause the capital regulation to become too tight, thereby intensifying the distortion of CAR on a bank’s asset and liability allocations. Under such a situation, CAR give rise to a harmful effect on capital accumulation (and consumption). By contrast, if the initial capital requirement ratio is relatively low, then appropriately increasing the strength of CAR gives rise to a favorable effect on capital accumulation (and consumption). Secondly, our welfare analysis indicates that because bank capital requirements damage consumption more than capital accumulation, the optimal capital adequacy ratio for social-welfare maximization is lower than that for the maximization of capital accumulation. Furthermore, the capital-accumulation maximizing CAR is procyclical with respect to economic conditions. This procyclicality provides not only a convincing explanation, but also a solid economic foundation to the empirical finding of Borio (2003) and Bliss and Kaufman (2003) who point out that CAR in general have a procyclical tendency. Thirdly, our study confirms the existence of the bank lending channel. A contractionary monetary policy (implemented by increasing either the federal fund target rate or the reserve requirement ratio) decreases the equilibrium quantity of loans, and as a result capital accumulation and consumption fall in response. However, because banks can change the equity-debt financing mix by accumulating equity rather than by cutting back on loans, stricter CAR make the bank lending channel less powerful. In other words, CAR impinge upon the effectiveness of monetary policy. Our analytical framework comprises two novel characteristics which distinguish this paper from the previous literature. First, by going beyond the existing macroeconomics literature, the model presented here incorporates a detailed balance sheet of banks in a setting with endogenous bank equity. We also allow banks to make portfolio allocations among assets (including loans, reserves, and federal funds) and to manage assets and liabilities by accumulating equities. In particular, it is costly for banks to manage the components of their balance sheets. Such a modeling allows us not only to analyze the effects of CAR on the loan market, but also to examine the role that bank lending plays in the monetary transmission in a macro-economy in which banks are increasingly able to issue non-reservable liabilities. Second, as emphasized by Schumpeter (1939, ch. III.D), “credit creation” on the part of the financial sector can play an important role in the process of accumulating a firm’s productive capital. More explicitly, Robinson (1969, ch. 4) indicates that banks’ loan services have the potential to affect firms’ investment decisions by making cheaper external financing sources available. As for firms’ investment behavior, Mayer (1990) and Schmidt (2001) provide empirical evidence in support of the contention that bank loans are the most important source of external funds for non-financial businesses in most countries. To capture a feature of reality, we allow the banking sector to play an active role in the process of accumulating productive capital by affecting firms’ investment decisions via the provision of cheaper external financing sources and the provision of loan services in terms of market promotion and project evaluation. This set-up allows us to address how monetary policy and financial regulation affect the real macroeconomic activities via the bank lending channel and how CAR and the bank lending channel interact with each other. Apparently, this paper’s focus is not on the information problem caused by CAR; instead, the emphasis is on a careful treatment of the bank’s balance-sheet components and the resulting implications on bank lending and monetary policy. Therefore, the analysis is performed without taking into consideration moral-hazard problems.

Although CAR have become the most common regulation in the banking industry, several basic and important macroeconomic questions remain unanswered. On the one hand, the large body of empirical literature on related subjects does not reach definitive conclusions regarding them. On the other hand, there are still very few theoretical models offering explanations from a general equilibrium perspective. To fill this gap, this paper has built an analytically tractable macro model and has used it to address the macroeconomic implications of a capital adequacy requirement system which links bank lending to bank equity. Essentially, both positive and normative analyses have been conducted in the paper. We have found that increasing the strength of the CAR does not necessarily reduce the equilibrium quantity of loans, provided that banks can change their equity-debt financing mix by accumulating more equity as opposed to cutting back on lending. This does not support the hypothesis of a credit crunch. Moreover, once the CAR increase the quantity of loans, our macro-model suggests that more severe CAR may also give rise to a favorable effect, rather than an adverse one, on capital accumulation and consumption. Of particular importance, there is an inverted-U-shaped relationship between the CAR and capital accumulation (and consumption). For the case, where there is a relatively low status quo ratio for the CAR, appropriately increasing the strength of the CAR favors capital accumulation and consumption. Of particular note, as a benchmark, for banks the possibility of holding the equality issued by firms is abstracted for simplicity. However, in an extension we have shown that the above-mentioned results are robust when the banks are allowed to hold equities issued by firms. We also find that the optimal capital adequacy ratio of social welfare maximization is lower than that of capital accumulation maximization. The capital-maximizing CAR rate is lower when the bad loan rate and the banks’ operational costs of managing equities increase. The welfare-maximizing CAR rate also has a negative relationship with the banks’ operational costs of managing equities, but it has an inconclusive relationship with the bad loan rate. Finally, there exists the so-called bank lending channel – a contractionary monetary policy decreases the equilibrium quantity of loans and, as a result, capital accumulation and consumption fall in response. However, since banks can change their equity-debt financing mix by accumulating equity rather than by cutting back on loans, stricter CAR lower the effectiveness of monetary policy. There are several directions over which further theoretical research would be interesting. First, in this model we do not deal with the risk attitude of banks toward the uncertainty involving bad loans. Keeley and Furlong (1990) use the mean–variance approach to analyze the effects of bank capital regulation on the assets and bankruptcy risk of the insured. It is interesting to explore how the introduction of uncertainty into the model naturally leads to an examination of the effects of the bank’s risk aversion on the macro consequences of the CAR. Secondly, currency in circulation is abstracted from our model. Although this simplification does not alter our results, an important direction for future research may be to further examine the monetary policy under various monetary regimes, such as inflation targeting and Taylor’s rule, when the model incorporates currency in circulation. Finally and more interestingly, in future research we will perform a numerical exercise to compute the welfare costs of moderate rates of CAR and the weakening effects of CAR on monetary policy.