A Quantitative Analysis of Countercyclical Capital Buffers
A Quantitative Analysis of Countercyclical Capital Buffers
复制标题
逆周期资本缓冲的定量分析
DOI：
10.20955/wp.2019.008
复制
发表时间：
2019
期刊：
影响因子：
--
通讯作者：
Miguel Faria
中科院分区：
文献类型：
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作者：
Miguel Faria
反周期资本缓冲（CCyB）的量化效果是什么？我研究这个问题的背景下，一个非线性DSGE模型的金融部门，是受到偶尔的恐慌。该模型的校准版本与美国数据相结合，以估计结构性冲击的序列，使我能够研究政策反事实。首先，我证明了在杠杆扩张期间提高资本缓冲可以将危机发生的频率降低一半以上。其次，我表明，在恐慌期间降低资本缓冲可以缓和由此产生的危机的强度。对2007-08年金融危机的定量应用表明，CCyB在2.5%范围内（如在联邦储备委员会当前框架中）可以极大地缓解2007年第四季度至2008年第四季度的金融恐慌，使总消费累计增长23%。这些研究结果表明，CCyB是一个有用的政策工具，无论是事前和事后。
What are the quantitative effects of countercyclical capital buffers (CCyB)? I study this question in the context of a nonlinear DSGE model with a financial sector that is subject to occasional panics. A calibrated version of the model is combined with US data to estimate sequences of structural shocks, allowing me to study policy counterfactuals. First, I show that raising capital buffers during leverage expansions can reduce the frequency of crises by more than half. Second, I show that lowering capital buffers during a panic can moderate the intensity of the resulting crisis. A quantitative application to the 2007-08 financial crisis shows that CCyB in the 2.5% range (as in the Federal Reserve's current framework) could have greatly mitigated the financial panic in 2007Q4-2008Q4, for a cumulative gain of 23% in aggregate consumption. These findings suggest that CCyB are a useful policy tool both ex-ante and ex-post.