资本缓冲可用性的结构模型

A structural model of capital buffer Jan Hannes Lang, Dominik Menno Abstract Under which conditions do usability constraints for regulatory capitalbuffers emerge?To answer this question, we build a non-linear structuralbanking sector model with a minimum capital requirement that banks arenot allowed to breach, and a capital buffer requirement (CBR) that bankscan breach but if they do so potential stigma applies.We prove that even Keywords:Bank capital requirements, capital buffers, loan supply, JEL classification:D21, E44, E51, G21, G28 Non-technical summary As a response to the global financial crisis (GFC), the Basel III reform package forthe banking system introduced a regulatory capital buffer requirement (CBR) ontop of the minimum regulatory capital requirement. The main difference of a CBRcompared to a minimum capital requirement is that banks are allowed to ”use” theCBR, i.e they are allowed to operate with a capital ratio below the CBR, whereas The main macroprudential policy motivation for introducing a CBR into bankingregulation is to increase banking system resilience to systemic shocks and to reducecyclicality of the banking system by supporting aggregate loan supply during crisesvia allowing banks to operate with capital ratios below the CBR. However, somerecent empirical banking papers have found indications of potential buffer usability We take the inconclusive empirical evidence regarding the existence of bufferusability constraints as a motivation to study in a structural model under whichconditions buffer usability constraints can emerge. For this purpose we build on thenon-linear banking sector model developed in Lang and Menno (2025) which featuresmonopolistic competition, an occasionally binding equity issuance constraint, andan occasionally binding minimum capital requirement. To this set-up we add twoingredients. First, we add costly bank liquidation in case the capital ratio falls below make profits and are not equity constrained, very small stigma costs of around 0.5-3basis points (bps) are sufficient to induce banks to fulfill the CBR, even under theassumption that bank equity is considerably more expensive than bank debt. Thisresult is reassuring, as it shows that the imposition of a CBR by the supervisor can beeffective in increasing bank capital ratios and therefore bank resilience. Compared to The second key finding of our analysis is that in ”bad” times, when banks makelosses and become equity constrained, these very small stigma costs of 0.5-3 bpswill also be sufficient to rule out that banks ”use” the CBR, i.e.that they allowtheir capital ratio to fall below the CBR to absorb losses.Instead, they preferto deleverage to still meet the CBR. The intuition for this key result about bufferusability constraints is simple. Banks that ”use” the CBR face stigma costs, whereas There are two important policy implications of our findings. First, introducinga CBR in ”normal” times when banks make profits seems desirable to increase bankresilience and to reduce bank failure probabilities, while this should not constrainbank credit supply much.Second, a structural non-releasable CBR is unlikely to 1Introduction As a response to the global financial crisis (GFC), the Basel III reform package forthe banking system introduced a regulatory capital buffer requirement (CBR) ontop of the minimum regulatory capital requirement. The main difference of a CBRcompared to a minimum capital requirement is that banks are allowed to ”use” theCBR, i.e they are allowed to operate with a capital ratio below the CBR, whereas The main macroprudential policy motivation for introducing a CBR into bank-ing regulation is to increase banking system resilience to systemic shocks and toreduce cyclicality of the banking system by supporting aggregate loan supply dur-ing crises. Different capital buffers exist within the regulatory framework: some arestructural, i.e.they always remain in place, and some are cyclical or releasable,i.e. they are increased during booms and reduced during busts. Prominent struc- Since the Covid-19 pandemic a debate has started about the need for more re-leasable rather than structural capital buffers.The reason for this is that someempirical banking papers have found indications of potential buffer usability con-straints, i.e. that banks would rather reduce loan supply and deleverage when facedwith adverse shocks rather than let their capital ratio fall below the CBR (Aakriti et al., 2023; Berrospide et al., 2024; Couaillier et al., 2022). For example, euro areabanks with a low distance between their capital ratio and the CBR reduced lending bank lending (Schmitz et al., 2021). If buffer usability constraints indeed exist, itwould imply that structural capital buffers might not be able to fully achieve their We take the inconclusive empirical evidence regarding the existence of buffer us-ability constraints as a motivation to study in a structural model under which con-d