This paper presents a model to capture the impact of the Basel III’s Liquidity Coverage Ratio (LCR) and the reserves requirement regulation on the banking sector and the real economy. It employs a medium-scale Dynamic Stochastic General Equilibrium (DSGE) model with financial frictions and calibrated to match data for Indonesia. The study shows that the impact of changing the two liquidity requirements on lending and output are relatively similar. However, lowering the LCR has consequences on the decline of demand for government bonds, so that it has a different impact on taxes, household deposits and bank’s profit. This paper also found that countercyclical liquidity regulations can improve welfare and reduce the volatility of bank loans.

本文提出了一个模型来捕捉巴塞尔协议 III 的流动性覆盖率 (LCR) 和准备金要求监管对银行业和实体经济的影响。它采用具有金融摩擦的中等规模动态随机一般均衡 (DSGE) 模型，并进行校准以匹配印度尼西亚的数据。研究表明，改变两种流动性要求对贷款和产出的影响比较相似。但是，降低LCR会降低对政府债券的需求，从而对税收，家庭存款和银行利润产生不同的影响。本文还发现，逆周期流动性监管可以提高福利并降低银行贷款的波动性。