以貨幣先行模型探討資本適足率之影響

Abstract

有鑑於各國逐漸重視金融市場之穩定性，本文欲以一般均衡模型結合貨幣先行限制，探討資本適足率對總體經濟之影響。發現由於銀行具備發行股票能力，資本適足率提高未必會侵害社會福利與資本累積；此外，準備率貨幣政策未必能夠有效促進經濟活動。本文亦輔以美國經濟體資料為基礎進行模擬，結果顯示資本適足率與消費和投資活動存在駝峰型關係。通膨率同樣影響經濟體運作，通膨率較高會使借貸市場收縮，進而抑制消費與投資行為；同時，規模較小的借貸市場使資本適足率所產生的成本降低，經濟體因此能承受較嚴格的資本適足管制。最後，由於放款市場為貨幣政策主要傳達管道，當較高的資本適足率削減放款市場時，貨幣政策的有效性將因此減弱。

With more intense attention regarding global financial system stability, this paper develops a general equilibrium model through a cash-in-advance constraint to study the macroeconomic effects of a capital adequacy regulation. We find that increasing the capital adequacy ratio may not necessarily deteriorate social welfare and capital accumulation owing to banks' ability to issue stocks. Furthermore, a reserve monetary policy may not be effective in simulating economic activities. Our numerical analysis simulates the U.S. economy, deriving a hump-shaped relationship between the capital standard and both aggregate consumption and capital accumulation. Another critical simulation result is that a higher currency growth rate reduces consumption and investment owing to the contraction of the loan-deposit market. Moreover, as a result of the capital regulation buffer provided by lower loan volume, an increase in the currency growth rate enhances the optimal capital adequacy ratios. Finally, since the bank equity standard impinges the bank lending channel, the power of monetary policies is weakened.