مقاله انگلیسی رایگان در مورد شکست بازار بین بانکی و سیاست های کلان محتاطانه (الزویر)

This paper analyses the effect of several regulatory measures on mitigating the severity of banking crises. The recent financial crisis has revealed several regulatory shortcomings, in particular low reserve liquidity and insufficient capital in the banking system. The breakdown of the interbank market and the subsequent credit crunch has resulted in large welfare losses and required massive Central Bank intervention. Financial authorities have responded to these developments by introducing regulation regarding bank liquidity and by tightening capital adequacy requirements. Two liquidity measures within the Basel III regulatory framework are directed at the interbank exposure, i.e. the Liquidity Coverage Ratio (LCR), which increases hoarded reserve against liquidity shocks from interbank loans, and the Net Stable Funding Ratio (NSFR) which restricts short-refinancing through the interbank market. This paper is the first study to evaluate these measures in a single framework and thus allows to assess implications on welfare. We focus on the analysis of systemic risks which materialize through the interbank lending relationships. We derive a Dynamic Stochastic General Equilibrium (DSGE) model with financial frictions in order to introduce vulnerabilities in the financial sector, giving a structural role to the interbank lending market. Through a “money in advance”constraint shocks to liquidity provision in the financial sector transmit to the household’s budget constraint and optimality conditions. We simulate a banking crisis by introducing an abrupt change in the trust between banks which increases the cost of interbank lending. The wedge between the risk-free interest rate targeted by the Central Bank and the interbank rate, which in turn depends on bank’s risk perceptions, induces a failure in the interbank lending market that adversely affects the supply of loans. As a consequence, economic activity and inflation contract, and interest rates decline. We study the effects of macro-prudential policies to the banking system under this shock scenario and use the calibrated model to evaluate the macroeconomic effects on credit growth and leverage. We compare how the above liquidity measures, LCR and NSFR, as well as changes in the Capital Requirement Ratio (CRR) affect interest rate spreads and the stability in the interbank market. We find that higher liquidity and capital requirements dampen the boombust effect on loan creation, albeit with the following caveats: i) the LCR and FSFR effectively reduce the macro impact of an interbank shock, and ii) the CRR only affects financial variables during an interbank shock.