大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

Macroeconomic influences of counter-cyclical capital regulation rules in a DSGE model

佐藤嘉晃（名古屋大学）

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大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第108回

Macroeconomic influences of counter-cyclical capital regulation rules in a DSGE model

佐藤嘉晃（名古屋大学）

We consider a macroeconomic framework where financial intermediaries are subject to time-varying capital requirements. We use the model to assess stabilizing effects of time-varying capital requirement rules on the economy during a recession. Model analysis shows that a time-varying capital requirement rule which responds to the credit-to-GDP ratio results in a more serious recession, whereas the rule which responds to aggregate credit growth has an influentially more stabilizing effect on the economy. Under both rules, lowering the minimum capital ratio that each inter-mediary must meet initially mitigates contractions of both aggregate credit and real economic activity. However, under the former rule, a cyclical slowdown in aggregate output—the denominator of the credit-to-GDP ratio—returns the minimum capital ratio to its value of normal times sooner than it does under the latter rule, which in turn results in subsequent sharper downturn. The results of this study partly provide support for the countercyclical capital buffer regime in Basel III framework, but imply possible drawbacks of it: the credit-to-GDP ratio is not an effective guide during a recession.