银行的Q理论

Review of Economic Studies · 2020 · [{"name": "Juliane Begenau", "affiliation": ["National Bureau of Economic Research", "Centre for Economic Policy Research", "Stanford University"]}, {"name": "Saki Bigio", "affiliation": ["University of California, Los Angeles"]}, {"name": "Jeremy Majerovitz", "affiliation": ["Massachusetts Institute of Technology"]}, {"name": "Matias Vieyra", "affiliation": ["Government of Canada", "Bank of Canada"]}]

中文摘要

摘要：银行资本要求基于账面价值，而账面价值对损失的反映较为迟缓。本文构建了一个银行动态模型，以研究监管与延迟核算之间的相互作用。我们的模型解释了四个典型事实：危机期间账面价值与市场价值出现背离；市净率预测未来盈利能力；即使危机期间市场杠杆率大幅发散，账面杠杆约束也极少严格生效；银行在净值冲击后逐步去杠杆。我们说明了延迟核算如何使监管者能够比即时（按市值计价）核算取得更好的结果。在模型的一个估计版本中，最优监管将更快的贷款损失确认与适度放松账面杠杆约束相结合。

Abstract

Abstract Bank capital requirements are based on book values, which are slow to reflect losses. In this article, we develop a dynamic model of banks to study the interaction of regulation and delayed accounting. Our model explains four stylized facts: book and market values diverge during crises, the market-to-book ratio predicts future profitability, book leverage constraints rarely bind strictly even as market leverage fans out during crises, and banks delever gradually after net-worth shocks. We show how delayed accounting can allow the regulator to achieve better outcomes than immediate (mark-to-market) accounting. In an estimated version of the model, the optimal regulation couples faster loan-loss recognition with a modest relaxation of the book leverage constraint.