The Bank Capital Channel of Monetary Policy
The Bank Capital Channel of Monetary Policy
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发表时间：
2006-12
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通讯作者：
S. Heuvel
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作者：
S. Heuvel
本文研究了资本充足率监管下银行贷款在货币政策传导中的作用。我开发了一个银行资产和负债管理的动态模型，其中包含基于风险的资本要求和不完善的银行股权市场。这些条件意味着莫迪利亚尼-米勒定理对于银行来说是失败的：其贷款将取决于银行的财务结构、贷款机会和市场利率。再加上银行资产负债表上的期限错配，这就产生了“银行资本渠道”，货币政策通过影响银行股本来影响银行贷款。这种机制不依赖于银行准备金的任何特定作用，因此不属于传统的“银行借贷渠道”。我分析了新渠道的动态。一个重要的结果是，货币政策对银行贷款的影响取决于银行业的资本充足率；相对于资本充足的银行，资本较低的银行放贷对利率冲击的反应是延迟的，然后是放大的。其他影响是，即使监管限制暂时不具有约束力，银行资本也会影响贷款，而贷款违约等对银行利润的冲击可能会对贷款产生持续影响
This paper examines the role of bank lending in the transmission of monetary policy in the presence of capital adequacy regulations. I develop a dynamic model of bank asset and liability management that incorporates risk-based capital requirements and an imperfect market for bank equity. These conditions imply a failure of the Modigliani-Miller theorem for the bank: its lending will depend on the bank’s financial structure, as well as on lending opportunities and market interest rates. Combined with a maturity mismatch on the bank’s balance sheet, this gives rise to a ‘bank capital channel’ by which monetary policy affects bank lending through its impact on bank equity capital. This mechanism does not rely on any particular role of bank reserves and thus falls outside the conventional ‘bank lending channel’. I analyze the dynamics of the new channel. An important result is that monetary policy effects on bank lending depend on the capital adequacy of the banking sector; lending by banks with low capital has a delayed and then amplified reaction to interest rate shocks, relative to well-capitalized banks. Other implications are that bank capital affects lending even when the regulatory constraint is not momentarily binding, and that shocks to bank profits, such as loan defaults, can have a persistent impact on lending