GROWTH AND WELFARE EFFECTS OF MACROPRUDENTIAL REGULATION
GROWTH AND WELFARE EFFECTS OF MACROPRUDENTIAL REGULATION
复制标题
DOI：
10.1017/s1365100517001080
复制
发表时间：
2019-12
影响因子：
0.9
通讯作者：
P. Agénor
中科院分区：
文献类型：
--
作者：
P. Agénor
在考虑银行成本和代理成本的内生增长重叠代模型中，研究了宏观审慎监管的增长效应和福利效应。不可分割的投资项目与信息不完善相结合，造成了双重道德风险问题（la Holmström-Tirole）和银行监督的作用。当最优监控强度是内生确定的，提高存款准备金率（出于系统风险考虑）对投资和增长的影响是相互矛盾的。一方面，要求银行将收到的存款中的一小部分存起来，会减少可贷资金的供应。另一方面，更高的存款准备金率提高了储蓄的动机，减轻了银行监督的动机，从而降低了监督成本，释放了资源来增加贷款。此外，它还可以缓解与过度杠杆相关的系统性风险外部性。这种权衡可以通过选择使增长和福利最大化的法定准备金率来内化。然而，脱媒的风险意味着，在实践中，如果最优比例相对较高，金融监管可能也需要加强，监管的范围可能会扩大。
This paper studies the growth and welfare effects of macroprudential regulation in an overlapping generations model of endogenous growth with banking and agency costs. Indivisible investment projects combine with informational imperfections to create a double moral hazard problem à la Holmström–Tirole and a role for bank monitoring. When the optimal monitoring intensity is endogenously determined, an increase in the required reserve ratio (motivated by systemic risk considerations) has conflicting effects on investment and growth. On one hand, requiring banks to put away a fraction of the deposits that they receive reduces the supply of loanable funds. On the other, a higher required ratio raises incentives to save and mitigates banks' incentives to monitor, thereby lowering monitoring costs and freeing up resources to increase lending. In addition, it may mitigate the systemic risk externality associated with excessive leverage. This trade-off can be internalized by choosing the required reserve ratio that maximizes growth and welfare. However, the risk of disintermediation means that in practice financial supervision may also need to be strengthened, and the perimeter of regulation broadened, if the optimal ratio is relatively high.