ABSTRACT

The Basel III regulation raised the minimum capital requirements for banks. However, its implementation may not have reduced systemic risks. Academicians investigating optimal banking regulations do not have a consensus on whether to increase or decrease capital requirements. Here, we use the agent-based approach to study capital regulation and its implications on the evolution of the banking system. We chose the Russian banking system to proxy key model parameters. We find that lower capital requirements imply higher financial stability than the Basel III regime, where the regulator requires banks to have capital over 10% of its risk-weighted assets’ amount. However, the regulatory rule to merely have a non-negative capital is the simplest solution that best fits heterogeneous economies. It produces the highest ratio of capital to assets, the least number of bank bankruptcies, and the lowest demand of banks to enter the interbank market to cover liquidity problems for all systems.

摘要

《巴塞尔协议III》提高了银行的最低资本要求。但是，其实施可能不会降低系统风险。研究最佳银行业法规的院士们对增加还是减少资本要求没有共识。在这里，我们使用基于代理的方法来研究资本监管及其对银行体系发展的影响。我们选择了俄罗斯银行系统来代理关键模型参数。我们发现，较低的资本要求意味着比巴塞尔协议III更高的金融稳定性，后者要求监管机构要求银行的资本超过其风险加权资产总额的10％。但是，仅具有非负资本的监管规则是最适合异质经济的最简单解决方案。它产生最高的资本资产比，