Capital Requirements and Business Cycles with Credit Market Imperfections

Agénor, P.-R.; Alper, K.; Pereira da Silva, L.

dc.creator	Agénor, P.-R.
dc.creator	Alper, K.
dc.creator	Pereira da Silva, L.
dc.date	2012-03-19T19:14:26Z
dc.date	2012-03-19T19:14:26Z
dc.date	2009-12-01
dc.date.accessioned	2023-02-18T19:39:10Z
dc.date.available	2023-02-18T19:39:10Z
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_20091209152140
dc.identifier	http://hdl.handle.net/10986/4344
dc.identifier.uri	http://localhost:8080/xmlui/handle/CUHPOERS/249844
dc.description	The business cycle effects of bank capital regulatory regimes are examined in a New Keynesian model with credit market imperfections and a cost channel of monetary policy. Key features of the model are that bank capital increases incentives for banks to monitor borrowers, thereby reducing the probability of default, and excess capital generates benefits in terms of reduced regulatory scrutiny. Basel I and Basel II-type regulatory regimes are defined, and the model is calibrated for a middle-income country. Simulations of supply and demand shocks show that, depending on the elasticity that relates the repayment probability to the capital-loan ratio, a Basel II-type regime may be less procyclical than a Basel I-type regime.
dc.language	English
dc.relation	Policy Research working paper ; no. WPS 5151
dc.rights	CC BY 3.0 IGO
dc.rights	http://creativecommons.org/licenses/by/3.0/igo/
dc.rights	World Bank
dc.subject	ACCOUNTING
dc.subject	ACCOUNTING PRINCIPLES
dc.subject	ADVERSE SELECTION
dc.subject	AGGREGATE DEMAND
dc.subject	AGGREGATE SUPPLY
dc.subject	AMOUNT OF LOANS
dc.subject	ARBITRAGE
dc.subject	ASSET PRICE
dc.subject	ASSET PRICES
dc.subject	ASSET QUALITY
dc.subject	ASYMMETRIC INFORMATION
dc.subject	BALANCE SHEET
dc.subject	BANK BEHAVIOR
dc.subject	BANK BORROWING
dc.subject	BANK CAPITAL
dc.subject	BANK COMPETITION
dc.subject	BANK DEBT
dc.subject	BANK DEPOSITS
dc.subject	BANK EQUITY
dc.subject	BANK LENDING
dc.subject	BANK LIQUIDATION
dc.subject	BANK LIQUIDITY
dc.subject	BANK LOANS
dc.subject	BANK MONITORING
dc.subject	BANK OF CANADA
dc.subject	BANK OF ENGLAND
dc.subject	BANK OF SPAIN
dc.subject	BANK POLICY
dc.subject	BANK PROFITS
dc.subject	BANK REGULATION
dc.subject	BANKS
dc.subject	BANQUE DE FRANCE
dc.subject	BOND
dc.subject	BORROWER
dc.subject	BORROWING COSTS
dc.subject	BUDGET CONSTRAINT
dc.subject	BUSINESS CYCLE
dc.subject	BUSINESS CYCLES
dc.subject	CAPITAL ACCUMULATION
dc.subject	CAPITAL ADEQUACY
dc.subject	CAPITAL GAINS
dc.subject	CAPITAL NEEDS
dc.subject	CAPITAL REGULATION
dc.subject	CAPITAL REQUIREMENT
dc.subject	CAPITAL REQUIREMENTS
dc.subject	CASH BALANCES
dc.subject	CASH FLOWS
dc.subject	CASH HOLDINGS
dc.subject	CASH MARKETS
dc.subject	CENTRAL BANK
dc.subject	CENTRAL BANKING
dc.subject	CLOSED ECONOMY
dc.subject	COLLATERAL
dc.subject	COMMERCIAL BANK
dc.subject	COMPARATIVE ECONOMICS
dc.subject	COMPETITIVE MARKET
dc.subject	CONTRACT ENFORCEMENT
dc.subject	COST OF CAPITAL
dc.subject	COST OF FUNDS
dc.subject	CREDIT CRUNCHES
dc.subject	CREDIT MARKET
dc.subject	CREDIT MARKETS
dc.subject	CURRENCY
dc.subject	DEBT
dc.subject	DEBT RATIO
dc.subject	DEFAULT PROBABILITY
dc.subject	DEFAULT RISK
dc.subject	DEMAND FOR BONDS
dc.subject	DEMAND FOR CAPITAL
dc.subject	DEMAND FOR CREDIT
dc.subject	DEPOSIT
dc.subject	DEPOSIT RATE
dc.subject	DEPOSITORS
dc.subject	DEPOSITS
dc.subject	DEVELOPING COUNTRIES
dc.subject	DEVELOPMENT ECONOMICS
dc.subject	DISCOUNTED VALUE
dc.subject	DIVIDEND
dc.subject	DIVIDENDS
dc.subject	ECONOMIC ACTIVITY
dc.subject	ECONOMIC FLUCTUATIONS
dc.subject	ELASTICITY
dc.subject	ELASTICITY OF DEMAND
dc.subject	ELASTICITY OF SUBSTITUTION
dc.subject	ENDOGENOUS VARIABLES
dc.subject	EQUILIBRIUM
dc.subject	EQUITY CAPITAL
dc.subject	EQUITY HOLDINGS
dc.subject	EQUITY MARKET
dc.subject	EQUITY PRICE
dc.subject	EXPECTED RETURN
dc.subject	EXPOSURE
dc.subject	EXTERNAL SHOCKS
dc.subject	FINANCIAL ASSETS
dc.subject	FINANCIAL CRISIS
dc.subject	FINANCIAL INTERMEDIARIES
dc.subject	FINANCIAL INTERMEDIATION
dc.subject	FINANCIAL MARKET
dc.subject	FINANCIAL SAFETY
dc.subject	FINANCIAL SAFETY NETS
dc.subject	FINANCIAL SECTOR
dc.subject	FINANCIAL STABILITY
dc.subject	FINANCIAL STRUCTURE
dc.subject	FINANCIAL SYSTEM
dc.subject	GOVERNMENT BONDS
dc.subject	GOVERNMENT SPENDING
dc.subject	GROWTH RATE
dc.subject	HOLDING
dc.subject	HOLDINGS OF BANK
dc.subject	HOUSEHOLD DEPOSITS
dc.subject	HOUSEHOLDS
dc.subject	HOUSING
dc.subject	INDIRECT COST
dc.subject	INDUSTRIAL ECONOMIES
dc.subject	INFLATION
dc.subject	INFLATION RATE
dc.subject	INTEREST INCOME
dc.subject	INTEREST PAYMENTS
dc.subject	INTEREST RATE
dc.subject	INTEREST RATES
dc.subject	INTERNATIONAL BANK
dc.subject	LABOR COSTS
dc.subject	LABOR HOURS
dc.subject	LENDERS
dc.subject	LIMITED LIABILITY
dc.subject	LOAN
dc.subject	LOAN APPLICANTS
dc.subject	LOAN CONTRACT
dc.subject	LOAN DEFAULT
dc.subject	LOAN PORTFOLIO
dc.subject	LOAN PORTFOLIOS
dc.subject	LOAN RATE
dc.subject	LOAN RATES
dc.subject	LOANABLE FUNDS
dc.subject	MACROECONOMICS
dc.subject	MARGINAL COST
dc.subject	MARGINAL COSTS
dc.subject	MARGINAL PRODUCT
dc.subject	MARGINAL PRODUCTIVITY
dc.subject	MARGINAL UTILITY
dc.subject	MARGINAL UTILITY OF CONSUMPTION
dc.subject	MARK-TO-MARKET
dc.subject	MARKET PRICING
dc.subject	MARKET RISKS
dc.subject	MATURITY
dc.subject	MATURITY PERIOD
dc.subject	MIDDLE-INCOME COUNTRIES
dc.subject	MIDDLE-INCOME COUNTRY
dc.subject	MONETARY ASSET
dc.subject	MONETARY ASSETS
dc.subject	MONETARY FUND
dc.subject	MONETARY POLICY
dc.subject	MONETARY SHOCKS
dc.subject	MONEY SUPPLY
dc.subject	MORAL HAZARD
dc.subject	MORTGAGE
dc.subject	MORTGAGE LENDING
dc.subject	MORTGAGE MARKET
dc.subject	NEGATIVE SHOCK
dc.subject	NET WORTH
dc.subject	NOMINAL PRICES
dc.subject	NOMINAL YIELD
dc.subject	NONPERFORMING LOANS
dc.subject	OPEN ECONOMIES
dc.subject	OPEN-MARKET OPERATIONS
dc.subject	OPPORTUNITY COST
dc.subject	OPTIMIZATION
dc.subject	OUTPUT
dc.subject	OUTPUT GAP
dc.subject	OUTSTANDING AMOUNT
dc.subject	OUTSTANDING LOANS
dc.subject	OUTSTANDING STOCK
dc.subject	PARTIAL EQUILIBRIUM ANALYSIS
dc.subject	PERISHABLE GOOD
dc.subject	PHILLIPS CURVE
dc.subject	PHYSICAL ASSETS
dc.subject	PHYSICAL CAPITAL
dc.subject	POLICY RESPONSE
dc.subject	POOL OF BORROWERS
dc.subject	PORTFOLIO ALLOCATION
dc.subject	POSSIBILITY OF DEFAULT
dc.subject	PROBABILITY OF DEFAULT
dc.subject	PROBABILITY OF REPAYMENT
dc.subject	PRODUCTION COSTS
dc.subject	PRODUCTION FUNCTION
dc.subject	PRODUCTIVITY
dc.subject	PROFITABILITY
dc.subject	PRUDENTIAL REGULATION
dc.subject	PRUDENTIAL SUPERVISION
dc.subject	PUBLIC SPENDING
dc.subject	RATE OF RETURN
dc.subject	RATES OF RETURN
dc.subject	REAL INTEREST
dc.subject	REAL INTEREST RATE
dc.subject	RECESSION
dc.subject	RECESSIONS
dc.subject	REDEMPTION
dc.subject	REGULATORY CAPITAL
dc.subject	REGULATORY REGIME
dc.subject	REGULATORY REGIMES
dc.subject	REGULATORY SCRUTINY
dc.subject	REPAYMENT
dc.subject	RESERVE
dc.subject	RESERVE REQUIREMENT
dc.subject	RESERVE REQUIREMENTS
dc.subject	RESERVES
dc.subject	RETAINED EARNINGS
dc.subject	RETURN
dc.subject	RETURN ON EQUITY
dc.subject	RETURNS
dc.subject	RISK OF DEFAULT
dc.subject	RISK OF LOAN
dc.subject	RISK PREMIUM
dc.subject	RISK TAKING
dc.subject	RISK WEIGHT
dc.subject	RISK WEIGHTS
dc.subject	RISKY ASSET
dc.subject	SCALE EFFECT
dc.subject	SECURITIES
dc.subject	SHARE OF EQUITY
dc.subject	SHARE PRICE
dc.subject	SHAREHOLDERS
dc.subject	STOCKS
dc.subject	SUPPLY OF CREDIT
dc.subject	TAX
dc.subject	TAX REVENUES
dc.subject	TRANSACTIONS COSTS
dc.subject	TRANSITION ECONOMIES
dc.subject	VALUE OF COLLATERAL
dc.subject	WAGES
dc.subject	WEALTH
dc.subject	WORKING CAPITAL
dc.title	Capital Requirements and Business Cycles with Credit Market Imperfections
dc.type	Publications & Research :: Policy Research Working Paper
dc.coverage	The World Region
dc.coverage	The World Region