零利率环境下的银行资本监管
Bank Capital Regulation in a Zero Interest Environment
Journal of the European Economic Association · 2024 · [{"name": "Robin Döttling", "affiliation": ["Erasmus University Rotterdam"]}]
中文摘要
存款利率的零下限（ZLB）如何影响银行对资本监管的反应？我在一个模型中研究这一问题，在该模型中，家庭重视存款的流动性服务，但不接受负存款利率。当存款利率受到零下限约束时，严格的资本要求会不成比例地损害银行的特许权价值，因此在遏制过度风险承担方面效果较弱。该模型为“利率依赖型”资本监管提供了一种新的理论依据：当零下限具有约束力时，最优资本监管应更为宽松；而当零下限当前不具约束力、但未来可能生效时，最优资本监管应更为严格。
Abstract
Abstract How does the zero lower bound on deposit rates (ZLB) affect how banks respond to capital regulation? I study this question in a model in which households value the liquidity services of deposits yet do not accept negative deposit rates. When deposit rates are constrained by the ZLB, tight capital requirements disproportionately hurt franchise values and are therefore less effective in curbing excessive risk taking. The model delivers a novel rationale for “interest-dependent” capital regulation that is optimally laxer when the ZLB binds and tighter when the ZLB is slack but may bind in the future.