McKeever Daniel
Binghamton University School of Management, USA.
Heliyon. 2023 Mar 1;9(3):e14118. doi: 10.1016/j.heliyon.2023.e14118. eCollection 2023 Mar.
This paper analyzes the efficacy of microprudential (bank-level) capital requirements in mitigating failure cascades in a network of interconnected banks. In simulation exercises, microprudential capital requirements redistribute the troubled assets of undercapitalized banks more broadly within the network, reducing the immediate likelihood of individual bank failures but increasing the likelihood of large failure cascades. This effect is strongest for simulation parameters that mimic economic downturns. If banks increase leverage in response to weaker capital requirements, failure cascades increase only minimally. These results suggest that current microprudential capital requirements might be counterproductive to the goal of mitigating bank failure cascades.
本文分析了微观审慎（银行层面）资本要求在缓解相互关联银行网络中的倒闭连锁反应方面的有效性。在模拟实验中，微观审慎资本要求在网络内更广泛地重新分配资本不足银行的不良资产，降低了个别银行立即倒闭的可能性，但增加了大规模倒闭连锁反应的可能性。对于模拟经济衰退的参数，这种影响最为强烈。如果银行因资本要求降低而提高杠杆率，倒闭连锁反应只会略有增加。这些结果表明，当前的微观审慎资本要求可能与缓解银行倒闭连锁反应的目标背道而驰。
