This paper analyzes the cyclical effects of bank capital requirements in a simple model with credit market imperfections. Lending rates are set as a premium over the cost of borrowing from the central bank, with the premium itself depending on firms’ effective collateral. Basel I- and Basel II-type regulatory regimes are defined and a capital channel is introduced through a signaling effect of capital buffers on the cost of bank deposits. The macroeconomic...
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INFORMATION
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2009/09/01
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Document de travail de recherche sur les politiques
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WPS5067
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1
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1
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2010/07/01
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Disclosed
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Cyclical effects of bank capital requirements with imperfect credit markets
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risk premium
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