Cyclical Effects of Bank Capital Requirements with Imperfect Credit Markets

Agénor, Pierre-Richard; Pereira da Silva, Luiz A.

dc.creator	Agénor, Pierre-Richard
dc.creator	Pereira da Silva, Luiz A.
dc.date	2012-03-19T19:12:49Z
dc.date	2012-03-19T19:12:49Z
dc.date	2009-09-01
dc.date.accessioned	2023-02-18T19:37:41Z
dc.date.available	2023-02-18T19:37:41Z
dc.identifier	http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20091007120449
dc.identifier	http://hdl.handle.net/10986/4262
dc.identifier.uri	http://localhost:8080/xmlui/handle/CUHPOERS/249762
dc.description	This paper analyzes the cyclical effects of bank capital requirements in a simple model with credit market imperfections. Lending rates are set as a premium over the cost of borrowing from the central bank, with the premium itself depending on firms effective collateral. Basel I- and Basel II-type regulatory regimes are defined and a capital channel is introduced through a signaling effect of capital buffers on the cost of bank deposits. The macroeconomic effects of various shocks (a drop in output, an increase in the refinance rate, and a rise in the capital adequacy ratio) are analyzed, under both binding and nonbinding capital requirements. Factors affecting the procyclicality of each regime (defined in terms of the behavior of the risk premium) are also identified and policy implications are discussed.
dc.language	English
dc.relation	Policy Research Working Paper ; No. 5067
dc.rights	CC BY 3.0 IGO
dc.rights	http://creativecommons.org/licenses/by/3.0/igo/
dc.rights	World Bank
dc.subject	ACCELERATOR
dc.subject	ACCELERATOR EFFECT
dc.subject	ACCOUNTING
dc.subject	ADVERSE CONSEQUENCES
dc.subject	ADVERSE EFFECT
dc.subject	ADVERSE SHOCKS
dc.subject	AGGREGATE DEMAND
dc.subject	AGGREGATE SUPPLY
dc.subject	ALTERNATIVE FUNDING
dc.subject	ALTERNATIVE REGIMES
dc.subject	AMOUNT OF LOANS
dc.subject	ARBITRAGE
dc.subject	ASSET PRICES
dc.subject	ASSET QUALITY
dc.subject	ASYMMETRIC INFORMATION
dc.subject	BACKED SECURITIES
dc.subject	BAD CREDIT
dc.subject	BALANCE SHEET
dc.subject	BALANCE SHEETS
dc.subject	BALANCE-SHEET
dc.subject	BANK ASSET
dc.subject	BANK ASSETS
dc.subject	BANK BEHAVIOR
dc.subject	BANK CAPITAL
dc.subject	BANK CREDIT
dc.subject	BANK DEBT
dc.subject	BANK DEPOSIT
dc.subject	BANK DEPOSITS
dc.subject	BANK FOR INTERNATIONAL SETTLEMENTS
dc.subject	BANK LENDING
dc.subject	BANK LIQUIDITY
dc.subject	BANK LOANS
dc.subject	BANK OF CANADA
dc.subject	BANK OF ENGLAND
dc.subject	BANK REGULATION
dc.subject	BANK REGULATIONS
dc.subject	BANKRUPTCY
dc.subject	BANKS
dc.subject	BILL
dc.subject	BILLS
dc.subject	BONDS
dc.subject	BOOK VALUE
dc.subject	BORROWER
dc.subject	BORROWING
dc.subject	BORROWING COSTS
dc.subject	BUFFER
dc.subject	BUFFERS
dc.subject	BUSINESS CYCLE
dc.subject	CAPITAL ACCUMULATION
dc.subject	CAPITAL ADEQUACY
dc.subject	CAPITAL BASE
dc.subject	CAPITAL LOANS
dc.subject	CAPITAL MARKETS
dc.subject	CAPITAL REGULATION
dc.subject	CAPITAL REQUIREMENT
dc.subject	CAPITAL REQUIREMENTS
dc.subject	CAPITAL STANDARDS
dc.subject	CAPITAL STOCK
dc.subject	CENTRAL BANK
dc.subject	CENTRAL BANKING
dc.subject	CLARITY
dc.subject	COLLATERAL
dc.subject	COMMERCIAL BANK
dc.subject	COMMERCIAL BANK ASSETS
dc.subject	COMMERCIAL BANKS
dc.subject	COMMERCIAL PAPER
dc.subject	CONSUMPTION EXPENDITURE
dc.subject	CONTRACT ENFORCEMENT
dc.subject	CORPORATE BONDS
dc.subject	CREDIT CRUNCH
dc.subject	CREDIT MARKET
dc.subject	CREDIT MARKETS
dc.subject	CREDIT RATIONING
dc.subject	CREDIT RISKS
dc.subject	CREDITS
dc.subject	CURRENCY
dc.subject	DEBT
dc.subject	DEBT CONTRACTS
dc.subject	DEBT INSTRUMENTS
dc.subject	DEBTS
dc.subject	DEFAULT RISK
dc.subject	DEMAND FOR CREDIT
dc.subject	DEPOSIT GUARANTEES
dc.subject	DEPOSIT INSURANCE
dc.subject	DEPOSITORS
dc.subject	DEPOSITS
dc.subject	DERIVATIVE
dc.subject	DERIVATIVES
dc.subject	DEVELOPING COUNTRIES
dc.subject	DEVELOPMENT ECONOMICS
dc.subject	DEVELOPMENT MACROECONOMICS
dc.subject	DISPOSABLE INCOME
dc.subject	DISTORTIONS
dc.subject	DOMESTIC GOOD
dc.subject	DOWNWARD PRESSURE
dc.subject	ECONOMIC ACTIVITY
dc.subject	ECONOMIC ENVIRONMENT
dc.subject	ECONOMIC POLICY
dc.subject	ELASTICITY
dc.subject	ELASTICITY OF OUTPUT
dc.subject	EMPLOYMENT
dc.subject	EQUILIBRIUM
dc.subject	EQUILIBRIUM CONDITION
dc.subject	EQUILIBRIUM CONDITIONS
dc.subject	EQUITY CAPITAL
dc.subject	EXCESS DEMAND
dc.subject	EXCESS SUPPLY
dc.subject	EXOGENOUS SHOCK
dc.subject	EXOGENOUS SHOCKS
dc.subject	EXPENDITURE
dc.subject	EXTERNAL FINANCE
dc.subject	FINANCIAL CRISIS
dc.subject	FINANCIAL FRAGILITIES
dc.subject	FINANCIAL INSTITUTIONS
dc.subject	FINANCIAL INTERMEDIATION
dc.subject	FINANCIAL MARKET
dc.subject	FINANCIAL MARKETS
dc.subject	FINANCIAL SECTOR
dc.subject	FINANCIAL STABILITY
dc.subject	FINANCIAL SYSTEM
dc.subject	FINANCIAL SYSTEMS
dc.subject	FUNDING SOURCES
dc.subject	GENERAL EQUILIBRIUM
dc.subject	GENERAL EQUILIBRIUM ANALYSIS
dc.subject	GROWTH RATE
dc.subject	HOLDING
dc.subject	HOMOGENEOUS GOOD
dc.subject	HOUSEHOLD DEPOSITS
dc.subject	HOUSEHOLD WEALTH
dc.subject	HOUSEHOLDS
dc.subject	HOUSING
dc.subject	ID
dc.subject	IMPACT ON PRICES
dc.subject	INADEQUATE DISCLOSURE
dc.subject	INCOME EFFECT
dc.subject	INDEXATION
dc.subject	INFLATION
dc.subject	INFLATION RATE
dc.subject	INTEREST PAYMENTS
dc.subject	INTEREST RATE
dc.subject	INTEREST RATES
dc.subject	INTERNATIONAL BANK
dc.subject	INVESTMENT PURPOSES
dc.subject	LABOR COSTS
dc.subject	LEGAL SYSTEM
dc.subject	LEVEL OF INVESTMENT
dc.subject	LEVERAGE
dc.subject	LIABILITY
dc.subject	LIABILITY MANAGEMENT
dc.subject	LIQUIDITY CONSTRAINTS
dc.subject	LOAN
dc.subject	LOAN DEFAULT
dc.subject	LOAN DEMAND
dc.subject	MACROECONOMIC EFFECTS
dc.subject	MACROECONOMIC MODEL
dc.subject	MACROECONOMICS
dc.subject	MARGINAL COST
dc.subject	MARKET DISCIPLINE
dc.subject	MARKET EQUILIBRIUM
dc.subject	MARKET RATES
dc.subject	MONETARY AUTHORITY
dc.subject	MONETARY ECONOMICS
dc.subject	MONETARY SHOCKS
dc.subject	MONETARY TRANSMISSION
dc.subject	MORAL HAZARD
dc.subject	MORTGAGE
dc.subject	MORTGAGE MARKET
dc.subject	MORTGAGE-BACKED SECURITIES
dc.subject	MORTGAGES
dc.subject	NEGATIVE SUPPLY SHOCK
dc.subject	NET WORTH
dc.subject	NOMINAL WAGE
dc.subject	OPEN ECONOMIES
dc.subject	OPPORTUNITY COST
dc.subject	PENALTIES
dc.subject	PHYSICAL CAPITAL
dc.subject	PLEDGE COLLATERAL
dc.subject	PORTFOLIOS
dc.subject	POSSIBILITY OF DEFAULT
dc.subject	PRICE HIKE
dc.subject	PRICE INCREASE
dc.subject	PRIVATE CONSUMPTION
dc.subject	PROBABILITY OF DEFAULT
dc.subject	PRODUCTION COSTS
dc.subject	PRODUCTION FUNCTION
dc.subject	PROFIT MARGIN
dc.subject	PROPERTY RIGHTS
dc.subject	PRUDENTIAL REGULATIONS
dc.subject	RATE OF INFLATION
dc.subject	REAL CONSUMPTION
dc.subject	REAL INVESTMENT
dc.subject	RECESSION
dc.subject	REGULATORY AUTHORITY
dc.subject	REGULATORY FRAMEWORK
dc.subject	REGULATORY REFORMS
dc.subject	REGULATORY REGIMES
dc.subject	REPAYMENT
dc.subject	RESERVE
dc.subject	RESERVE ADEQUACY
dc.subject	RESERVE REQUIREMENTS
dc.subject	RESERVES
dc.subject	RETAINED EARNINGS
dc.subject	RETURN
dc.subject	RETURN ON EQUITY
dc.subject	RISK AVERSE
dc.subject	RISK EXPOSURE
dc.subject	RISK MANAGEMENT
dc.subject	RISK PREMIUM
dc.subject	RISK TAKING
dc.subject	SECURITIES
dc.subject	SIGNALING
dc.subject	SOLVENCY
dc.subject	SUBSTITUTION EFFECT
dc.subject	SUPPLY CURVE
dc.subject	TERMS OF CREDIT
dc.subject	TOTAL CREDIT
dc.subject	TOTAL CURRENCY
dc.subject	TRANSMISSION MECHANISM
dc.subject	TRANSMISSION OF MONETARY POLICY
dc.subject	TRANSPARENCY
dc.subject	UNCERTAINTY
dc.subject	UNDERDEVELOPED CAPITAL MARKETS
dc.subject	UPWARD JUMP
dc.subject	UPWARD PRESSURE
dc.subject	VALUE OF COLLATERAL
dc.subject	VULNERABILITY TO SHOCKS
dc.subject	WAGES
dc.subject	WEALTH
dc.subject	WEIGHTS
dc.subject	WORKING CAPITAL
dc.subject	WRITEDOWNS
dc.title	Cyclical Effects of Bank Capital Requirements with Imperfect Credit Markets
dc.type	Publications & Research :: Policy Research Working Paper