文章基本信息

标题：The impact of bank capital on economic activity - evidence from a mixed-cross-section GVAR model
本地全文：下载
作者：Marco Gross ; Christoffer Kok ; Dawid Zochowski 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2016
出版社：European Central Bank
摘要：We develop a Mixed-Cross-Section Global Vector Autoregressive (MCS-GVAR) model for the 28EU economies and a sample of individual banking groups to study the propagation of bank capitalshocks to the economy. We conduct various simulations with the model to assess how capital ratioshocks inuence bank credit supply and aggregate demand. We distinguish between contractionaryand expansionary deleveraging scenarios and conrm the intuitive result that only when bankschoose to achieve higher capital ratios by shrinking their balance sheets would economic activity beat risk to contract. The model can be used to establish ranges of impact estimates for capital-relatedmacroprudential policy measures, including counter-cyclical capital buers, systemic risk buers,G-SIB buers, etc., also with a view to assessing the cross-country spillover eects of such policymeasures. We highlight the importance for macroprudential policy makers to give clear guidanceto banks as to how certain macroprudential policy measures should be implemented | dependingon what measure is considered, during which phase in the business cycle, and for what particularpurpose.
关键词：Macro-nancial linkages; bank leverage; aggregate demand and supply; Basel III and;capital regulation; macroprudential policy