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Finance and Economics Discussion Series: Data for paper 2014-85

Bank Liquidity and Capital Regulation in General Equilibrium

Francisco Covas and John C. Driscoll

Figure 1: The Effect of the LCR constraint on bankers' policy rules

Net Worth Loans LCR Loans No LCR Securities LCR Securities No LCR
30 211.811 213.8635 672.3382 669.8144
30.303 213.5145 215.6105 670.7369 668.1722
31.2121 218.6126 220.8276 665.9446 663.268
32.7273 227.0148 229.3743 658.0466 655.2341
34.8485 238.552 241.0593 647.2016 644.2502
37.5758 252.9626 255.6197 633.6557 630.5635
40.9091 270.0158 272.9362 617.6256 614.286
44.8485 289.4653 292.6265 599.3431 595.7771
49.3939 311.1079 314.3613 578.999 575.3464
54.5455 334.8069 338.1185 556.722 553.0146
60.303 358.645 363.4715 534.3141 529.1828
66.6667 382.4048 390.3597 511.98 503.9079
73.6364 407.6924 418.5106 488.2096 477.4461
81.2121 434.8392 447.7792 462.6916 449.9336
89.3939 465.0711 478.2644 434.2737 421.2774
98.1818 494.6003 509.6995 406.5162 391.7285
107.5758 523.8649 541.9571 379.0075 361.4063
117.5758 554.1067 574.8491 350.5801 330.4879
128.1818 580.1156 606.3708 328.3502 301.3031
139.3939 583.1292 614.4527 334.3464 299.8552
151.2121 585.8661 622.7752 341.3847 298.6421
163.6364 588.3925 626.7347 349.3983 303.9595
176.6667 590.5746 628.1522 358.5542 313.627
190.303 592.8001 628.8236 368.2754 325.0051
204.5455 595.114 629.4067 378.4863 337.1055
219.3939 597.5228 629.9275 389.1775 349.8848
234.8485 600.0322 630.4 400.3411 363.3211
250.9091 602.6439 630.8324 411.9738 377.4018
267.5758 605.3621 631.2307 424.0671 392.1176
284.8485 608.189 631.5991 436.6181 407.4619
302.7273 611.127 631.9412 449.6238 423.4291
321.2121 614.1092 632.2604 463.1582 440.0141
340.303 616.428 632.5595 478.0088 457.213
360 618.3029 632.8406 493.9316 475.0226
380.303 620.1528 633.1052 510.4603 493.4404
401.2121 622.0709 633.3548 527.4914 512.4645
422.7273 624.0604 633.5907 545.0216 532.0932
444.8485 626.1215 633.8146 563.0511 552.3248
467.5758 628.2562 634.0273 581.5789 573.1579
490.9091 630.4666 634.2292 600.6049 594.5908

Figure 2: The Effects of an Increase in the Supply of Safe Assets

Left Panel: (Point A = (2.70.9953); Point B = (2.250.9970))

Price of Securities No LCR - Supply No LCR - Demand LCR - Supply LCR - Demand
0.982221785 2.411324956 4.158459514 2.359300084 4.069936391
0.98804466 2.474215539 3.408593186 2.360117027 3.337909759
0.991965083 2.543159593 2.965675484 2.360495013 2.924362604
0.994925878 2.628972331 2.668183423 2.360809526 2.635976221
0.995226763 2.639054544 2.639045389 2.361014944 2.450116985
0.997904401 2.736930457 2.384553535 2.361144585 2.361063099
0.998901209 2.776705094 2.290454647 2.36150283 2.270165502
1.001101211 2.875796844 2.086619594 2.363615539 2.071311386
1.002104419 2.927192286 1.99444544 2.365023147 1.978887915
1.00310964 2.982868708 1.900818532 2.366612041 1.883380894

Right Panel: (Point A' = (2.970.9920) Point B' = (2.520.9927))

Price of Securities No LCR - Supply No LCR - Demand LCR - Supply LCR - Demand
0.982221785 2.75960408 4.038383234 2.696101145 3.966251427
0.98804466 2.842012957 3.291505738 2.696807676 3.237214186
0.991965083 2.914969025 2.915053032 2.697186195 2.823959216
0.994925878 3.034715867 2.554153496 2.697321594 2.697373636
0.995226763 3.111920278 2.359603069 2.697498838 2.532713169
0.997904401 3.154320489 2.26374768 2.697927767 2.346386186
0.998901209 3.200841473 2.169699916 2.699570788 2.161919363
1.001101211 3.316056193 1.9646082 2.702681024 1.956756583
1.002104419 3.374009676 1.869843303 2.703952768 1.866262367
1.00310964 3.436839997 1.771270829 2.704810148 1.779878171

Figure 3: Introduction of Liquidity Requirements

Years Loan rate Percent Bank loans % dev. from ss Return on securities Percent Bank securities % dev. from ss Risk-based capital ratio Percent Liquidity coverage ratio Percent
0 4.16249966 0 3.3479035 0 12.2055 150.0566
1 4.16249966 0 3.3479035 0 12.20551842 150.0564994
2 4.16249966 -0.000101497493176339 3.3479035 -0.000166515841740988 12.58708298 153.11845614
3 4.23063517 -2.19074133542439 3.29488843000001 3.64351669239902 12.71707188 153.68175277
4 4.23988475999999 -2.50568361297421 3.28853185 4.27317791004616 12.84848487 154.34884936
5 4.25252592000001 -2.916136714331 3.28056463999999 5.0316765453196 12.9053612 154.42655243
6 4.25230168999999 -2.90564274445259 3.28351926999999 5.08170800590501 12.95486401 154.50298713
7 4.25256516000001 -2.90423995557923 3.28626421 5.13589013580808 12.99829956 154.57588596
8 4.25303167 -2.90790449881482 3.28882640999999 5.19063272383902 13.03654962 154.6434456
9 4.25358292 -2.91391733766186 3.29125839 5.24282056199259 13.07042703 154.70579345
10 4.25416559 -2.921183344119 3.29356008999999 5.29212762815965 13.1006257 154.76355732
11 4.25475672 -2.9292447850755 3.29572703000001 5.33891691042135 13.12771272 154.81736269
12 4.25534514999999 -2.93784434498954 3.29776260000001 5.38358927407738 13.15215003 154.86744738
13 4.25595192999999 -2.94680907608283 3.2997019 5.42574795194606 13.17431395 154.91494485
14 4.25648712 -2.95579493876974 3.3014635 5.4676476961406 13.19447678 154.95936434
15 4.2570376 -2.9648677367402 3.30314765999999 5.50727482657595 13.21291205 155.00124956
16 4.25756613999999 -2.97382599789307 3.30472637000001 5.54551586512852 13.229824 155.04078721
17 4.25807196000001 -2.98257361900036 3.30620660000001 5.58241808537065 13.24538562 155.07814911
18 4.25855394000001 -2.9910452037131 3.30759418 5.61803432783839 13.25974352 155.11349644
19 4.25901222 -2.9991998873388 3.30889568999999 5.65242404801127 13.27302332 155.14697061
20 4.25944711999999 -3.00701145519817 3.31011693000001 5.68563529959556 13.28533327 155.17870113
21 4.25985848999999 -3.01446711366886 3.31126316999999 5.71771517395531 13.29676489 155.20878712
22 4.26024672000001 -3.02155166678392 3.31233772999999 5.74868780744706 13.30739947 155.23734996
23 4.26061285999999 -3.02827817839473 3.3133469 5.77861156749 13.31730778 155.26448489
24 4.26095782 -3.03465316875506 3.31429488999999 5.80752230055082 13.32655147 155.29027049
25 4.26128318000001 -3.04068234768572 3.31518584999999 5.83544029287893 13.33518591 155.31479518
26 4.26158759999999 -3.04637731582929 3.31602132 5.86242179109364 13.34326031 155.33799692
27 4.26188765 -3.05177179035503 3.31682115 5.88813169087395 13.35081949 155.36030835
28 4.26214244000001 -3.05678750087938 3.31754386000001 5.91362240616722 13.3578908 155.38142478
29 4.26239723999999 -3.06156730426167 3.31824075 5.93786942930829 13.36452042 155.40154693
30 4.26263628000001 -3.06607630596216 3.31889621000001 5.96129332393063 13.37073923 155.42072572
31 4.26286060000001 -3.07032993005618 3.31951313000001 5.9839140957202 13.37657733 155.43895961
32 4.26307692000001 -3.0743563039827 3.3201008 6.00560647068247 13.38206333 155.45607896
33 4.26330677 -3.07814653126037 3.32067759000001 6.02589132651063 13.38723747 155.47289991
34 4.26346786 -3.08165086311881 3.32117186000001 6.04673239349285 13.39207114 155.48884883
35 4.26362661999999 -3.08493301453797 3.32163842 6.06670741255364 13.39660856 155.5039255
36 4.26379387 -3.08811312766221 3.32210123000001 6.08552479608484 13.40087601 155.51831243
37 4.26395045000001 -3.09111118602493 3.32253661999999 6.10367928810555 13.40488738 155.53202549
38 4.26409743 -3.09393423896512 3.32294702 6.12116112275854 13.40865664 155.54509152
39 4.26423593 -3.09659364518873 3.32333434000001 6.13798143889397 13.4121976 155.55754327
40 4.26436654 -3.09910406781196 3.32370036 6.15416159816576 13.4155226 155.56940772
Steady state 4.26667362 -3.14640980864772 3.33091726 6.60622593298434 13.4781 155.8572

Figure 4: Introduction of Liquidity Requirements

Years Entrepreneurial output % dev. from ss Entrepreneurial consumption % dev. from ss Aggregate output % dev. from ss Aggregate consumption % dev. from ss
0 0 0 0 0
1 0.00119421923474761 3.98E-05 -0.000424883377007745 -0.00162473213509884
2 -0.0161195165460271 -0.0101040502183452 -0.140373126194632 -0.0665306668283279
3 -0.0365884436401132 -0.0249632678311542 -0.165324151323347 -0.0660472686992506
4 -0.0620762668045529 -0.0411139883551783 -0.198895783626512 -0.0681468127552307
5 -0.0876556075491237 -0.0588962736535734 -0.205111052531777 -0.0679887706386637
6 -0.111969519131321 -0.0755538719068483 -0.211362050177399 -0.0695768832389376
7 -0.135038404860396 -0.0912033442503741 -0.217512837264152 -0.0714926904212092
8 -0.157077326783877 -0.105927438136817 -0.223495407233003 -0.0736001064583434
9 -0.178079335573926 -0.119783635371192 -0.229236613043355 -0.0758121888034538
10 -0.198042512926577 -0.132824807132465 -0.234715557341886 -0.0780684335711612
11 -0.216988073940016 -0.145101302765653 -0.239928513991629 -0.0803224820122921
12 -0.235205299896577 -0.156661058951983 -0.244967339123107 -0.082538748202964
13 -0.251925871251288 -0.167541335516745 -0.249526321113407 -0.084682686195606
14 -0.268037326783869 -0.17780214701601 -0.25397708539208 -0.086755433022006
15 -0.283264201137541 -0.187473195050956 -0.258148994549117 -0.0887321268706103
16 -0.297652727507753 -0.196592310771479 -0.262074397879246 -0.0906072832641058
17 -0.311246271975179 -0.205194261280937 -0.26576319671014 -0.0923775864945924
18 -0.324083761633915 -0.213311943231446 -0.269225212983329 -0.0940425922946702
19 -0.336207251809711 -0.220975895196517 -0.272472243381174 -0.0956035062751255
20 -0.347655592037228 -0.228214537845702 -0.275515576919716 -0.0970628281963997
21 -0.358467032057902 -0.235054454148482 -0.278366155325315 -0.0984241410846209
22 -0.368676902792146 -0.241520487627383 -0.28103545096296 -0.0996917535605775
23 -0.378320025853157 -0.247635167394478 -0.283534523298599 -0.100869874781708
24 -0.387433027404342 -0.253420378457065 -0.285874903121325 -0.101963407663874
25 -0.396033846949322 -0.258896259097526 -0.288061990074127 -0.102977096346606
26 -0.404293441054818 -0.264082139738008 -0.290156198776387 -0.103916282953548
27 -0.411836240951388 -0.268991022561863 -0.292010904627006 -0.104781031590477
28 -0.419114842295755 -0.273648606259101 -0.293820372422942 -0.105585856610873
29 -0.42599379782834 -0.278065047307138 -0.295502513020423 -0.106328598025272
30 -0.432498185108585 -0.282254388646294 -0.297077329574108 -0.10701394230928
31 -0.438708665977245 -0.286230229257654 -0.298573134765419 -0.10764606012323
32 -0.444816595139599 -0.290003347889396 -0.300050133173258 -0.108226833220314
33 -0.450115315408468 -0.29357894104804 -0.301247050991265 -0.108752976695442
34 -0.455162200103416 -0.29698280203786 -0.302412092677841 -0.109244900776559
35 -0.460129834539814 -0.300224898107714 -0.303573783521387 -0.109702478049442
36 -0.464826228024819 -0.303308125909751 -0.304646659638692 -0.110121507949273
37 -0.469273138572902 -0.306241688500748 -0.305653197547144 -0.110505791720357
38 -0.473487360392966 -0.309034228529853 -0.306598521657548 -0.110857959275592
39 -0.477481990692866 -0.311693558951959 -0.307487071828433 -0.111180168331813
40 -0.481269583764217 -0.314227518195068 -0.308323059329425 -0.111474576166415
Steady state -0.566184074457084 -0.37117903930131 -0.323978150310793 -0.115769869633056

Figure 5: Comparison of Introducing Liquidity Requirements with Increasing Capital Requirements

Years Loan rate (Percent) LCR Loan rate (Percent) Higher capital Bank loans (% dev. from ss) LCR Bank loans (% dev. from ss) Higher capital Risk-based capital ratio (Percent) LCR Risk-based capital ratio (Percent) Higher capital Liquidity coverage ratio (Percent) LCR Liquidity coverage ratio (Percent) Higher capital Aggregate output (% dev. from ss) LCR Aggregate output (% dev. from ss) Higher capital Aggregate consumption (% dev. from ss) LCR Aggregate consumption (% dev. from ss) Higher capital
0 4.16249966 4.16249966 0 0 12.2055 12.2055 150.0566 150.0566 0 0 0 0
1 4.16249966 4.16249966 0 0 12.20551842 12.20551842 150.0564994 150.0564994 -0.000424883377007745 -0.000424883377007745 -0.00162473213509884 -0.00162473213509884
2 4.16249966 4.16249966 -0.000101497493176339 -0.000101497493176339 12.58708298 13.105939 153.11845614 152.50269347 -0.140373126194632 -0.0113383814318411 -0.0665306668283279 -0.367421683223341
3 4.23063517 4.18619611 -2.19074133542439 -0.734493659424047 12.71707188 14.06874584 153.68175277 155.52053523 -0.165324151323347 -0.0671273647757147 -0.0660472686992506 -0.352557005147133
4 4.23988475999999 4.22359662 -2.50568361297421 -1.95437095197309 12.84848487 15.13988739 154.34884936 159.7666081 -0.198895783626512 -0.201606721582863 -0.0681468127552307 -0.314818398327787
5 4.25252592000001 4.29364824 -2.916136714331 -4.2370229973093 12.9053612 15.3533675 154.42655243 158.62074636 -0.205111052531777 -0.118557691633924 -0.0679887706386637 -0.186458373833915
6 4.25230168999999 4.24833677000001 -2.90564274445259 -2.81033279058948 12.95486401 15.55249648 154.50298713 158.1335099 -0.211362050177399 -0.0731151191426989 -0.0695768832389376 -0.139708288630303
7 4.25256516000001 4.22472324000001 -2.90423995557923 -2.02751081908733 12.99829956 15.72612223 154.57588596 157.93306257 -0.217512837264152 -0.0469942952986742 -0.0714926904212092 -0.109438140528937
8 4.25303167 4.2110053 -2.90790449881482 -1.55726365782243 13.03654962 15.87584795 154.6434456 157.87454307 -0.223495407233003 -0.0319623246639651 -0.0736001064583434 -0.0895911293118417
9 4.25358292 4.20262782 -2.91391733766186 -1.26090695087497 13.07042703 16.00517017 154.70579345 157.89019657 -0.229236613043355 -0.0236801362898262 -0.0758121888034538 -0.0764656457068611
10 4.25416559 4.19736871 -2.921183344119 -1.06886172030688 13.1006257 16.11735599 154.76355732 157.94470053 -0.234715557341886 -0.019643152350298 -0.0780684335711612 -0.0677793061085339
11 4.25475672 4.19404670000001 -2.9292447850755 -0.942214468388912 13.12771272 16.21490575 154.81736269 158.01535638 -0.239928513991629 -0.01875297863036 -0.0803224820122921 -0.0620701640196444
12 4.25534514999999 4.19216870000001 -2.93784434498954 -0.856318095173521 13.15215003 16.30064335 154.86744738 158.09820574 -0.244967339123107 -0.018590390886331 -0.082538748202964 -0.058365640243025
13 4.25595192999999 4.19062557000001 -2.94680907608283 -0.799270119926419 13.17431395 16.37554639 154.91494485 158.17942192 -0.249526321113407 -0.0201736794503802 -0.084682686195606 -0.0561277560118754
14 4.25648712 4.1898429 -2.95579493876974 -0.759526283820463 13.19447678 16.44146701 154.95936434 158.25814154 -0.25397708539208 -0.0223845661266608 -0.086755433022006 -0.0548930293269336
15 4.2570376 4.18938471000001 -2.9648677367402 -0.731976737130367 13.21291205 16.49966365 155.00124956 158.33276087 -0.258148994549117 -0.025040019415485 -0.0887321268706103 -0.0543791020847664
16 4.25756613999999 4.18915446999999 -2.97382599789307 -0.712946276665932 13.229824 16.55118813 155.04078721 158.40253362 -0.262074397879246 -0.0279635334876645 -0.0906072832641058 -0.0543863443453034
17 4.25807196000001 4.18908291 -2.98257361900036 -0.699940635757173 13.24538562 16.59693163 155.07814911 158.46728795 -0.26576319671014 -0.0310348095471511 -0.0923775864945924 -0.0547708112713679
18 4.25855394000001 4.18912257999999 -2.9910452037131 -0.69129068865935 13.25974352 16.63764904 155.11349644 158.52713636 -0.269225212983329 -0.0341717383866182 -0.0940425922946702 -0.0554270467487896
19 4.25901222 4.18924060000001 -2.9991998873388 -0.685841085346056 13.27302332 16.67398319 155.14697061 158.58234872 -0.272472243381174 -0.0373157970330169 -0.0956035062751255 -0.0562768541147847
20 4.25944711999999 4.18941373999999 -3.00701145519817 -0.682778353187501 13.28533327 16.7064825 155.17870113 158.6332522 -0.275515576919716 -0.0404262265679591 -0.0970628281963997 -0.0572611652437729
21 4.25985848999999 4.1896253 -3.01446711366886 -0.681510485149161 13.29676489 16.73561625 155.20878712 158.68018856 -0.278366155325315 -0.0434737886115784 -0.0984241410846209 -0.0583350011158217
22 4.26024672000001 4.18986284 -3.02155166678392 -0.681596364793791 13.30739947 16.76179118 155.23734996 158.72351777 -0.28103545096296 -0.0464385772269509 -0.0996917535605775 -0.0594645067845221
23 4.26061285999999 4.19011694 -3.02827817839473 -0.682719915448132 13.31730778 16.78535692 155.26448489 158.76357973 -0.283534523298599 -0.0493064120030482 -0.100869874781708 -0.0606230827914658
24 4.26095782 4.19037887 -3.03465316875506 -0.684640953119285 13.32655147 16.8066014 155.29027049 158.80058535 -0.285874903121325 -0.052065071325913 -0.101963407663874 -0.0617903133647815
25 4.26128318000001 4.19063269 -3.04068234768572 -0.687097587732552 13.33518591 16.8255901 155.31479518 158.83197951 -0.288061990074127 -0.0552094672910783 -0.102977096346606 -0.0629480349161042
26 4.26158759999999 4.19114115000001 -3.04637731582929 -0.688841553839055 13.34326031 16.84332348 155.33799692 158.86659819 -0.290156198776387 -0.0571251344056805 -0.103916282953548 -0.0640505590324665
27 4.26188765 4.19115175 -3.05177179035503 -0.692893005706722 13.35081949 16.85902356 155.36030835 158.89594704 -0.292010904627006 -0.0596310750520956 -0.104781031590477 -0.065173048866356
28 4.26214244000001 4.19143764000001 -3.05678750087938 -0.696225844128875 13.3578908 16.8732831 155.38142478 158.92319888 -0.293820372422942 -0.0619309870349696 -0.105585856610873 -0.0662590023560767
29 4.26239723999999 4.19169797000001 -3.06156730426167 -0.69964592874689 13.36452042 16.88624623 155.40154693 158.94809223 -0.295502513020423 -0.0642573631289167 -0.106328598025272 -0.0673061319906481
30 4.26263628000001 4.19199337 -3.06607630596216 -0.703122298163649 13.37073923 16.89808538 155.42072572 158.97218794 -0.297077329574108 -0.066137049164638 -0.10701394230928 -0.0682995723882982
31 4.26286060000001 4.19218474 -3.07032993005618 -0.706560905052541 13.37657733 16.90883229 155.43895961 158.99416533 -0.298573134765419 -0.068137398490947 -0.10764606012323 -0.0692649837926211
32 4.26307692000001 4.19242101999999 -3.0743563039827 -0.710032610860793 13.38206333 16.91864529 155.45607896 159.01471629 -0.300050133173258 -0.0699961687642912 -0.108226833220314 -0.0701846155996435
33 4.26330677 4.19264496 -3.07814653126037 -0.713473675394567 13.38723747 16.92761108 155.47289991 159.03392721 -0.301247050991265 -0.071752410733879 -0.108752976695442 -0.0710594464090235
34 4.26346786 4.19285892000001 -3.08165086311881 -0.716846001691692 13.39207114 16.93581039 155.48884883 159.05189724 -0.302412092677841 -0.0734106746408259 -0.109244900776559 -0.0718897436637747
35 4.26362661999999 4.19306319999999 -3.08493301453797 -0.720129930145234 13.39660856 16.94331612 155.5039255 159.06872254 -0.303573783521387 -0.0749755631522504 -0.109702478049442 -0.0726762599893362
36 4.26379387 4.19325788 -3.08811312766221 -0.723314474825969 13.40087601 16.9501927 155.51831243 159.08448586 -0.304646659638692 -0.0764514657350048 -0.110121507949273 -0.0734200263184306
37 4.26395045000001 4.19344311000001 -3.09111118602493 -0.726389257508558 13.40488738 16.95649805 155.53202549 159.09926837 -0.305653197547144 -0.0778429709423278 -0.110505791720357 -0.0741222647077109
38 4.26409743 4.19361920000001 -3.09393423896512 -0.729351293905395 13.40865664 16.96228415 155.54509152 159.11314543 -0.306598521657548 -0.0791548412467762 -0.110857959275592 -0.0747841092081387
39 4.26423593 4.19378655 -3.09659364518873 -0.732200961627399 13.4121976 16.96759722 155.55754327 159.12618211 -0.307487071828433 -0.0803913640549041 -0.111180168331813 -0.0754068931654643
40 4.26436654 4.19394551000001 -3.09910406781196 -0.734937837431787 13.4155226 16.97247838 155.56940772 159.13843662 -0.308323059329425 -0.0815568340225639 -0.111474576166415 -0.0759922069315024

Figure 6: Introducing More Stringent Liquidity Requirements

Years Loan rate (Percent) Baseline LCR Loan rate (Percent) Tighter LCR Bank loans (% dev. from ss) Baseline LCR Bank loans (% dev. from ss) Tighter LCR Risk-based capital ratio (Percent) Baseline LCR Risk-based capital ratio (Percent) Tighter LCR Liquidity coverage ratio (Percent) Baseline LCR Liquidity coverage ratio (Percent) Tighter LCR Aggregate output (% dev. from ss) Baseline LCR Aggregate output (% dev. from ss) Tighter LCR Aggregate consumption (% dev. from ss) Baseline LCR Aggregate consumption (% dev. from ss) Tighter LCR
0 4.16249966 4.16249966 0 0 12.2055 12.2055 150.0566 126.2103 0 0 0 0
1 4.16249966 4.16249966 0 0 12.20551842 12.20551842 150.0564994 126.20983614 -0.000424883377007745 -0.000424883377007745 -0.00162473213509884 -0.00162473213509884
2 4.16249966 4.16249966 -0.000101497493176339 -0.000101497493176339 12.58708298 12.97765552 153.11845614 133.38819013 -0.140373126194632 -0.28527983686071 -0.0665306668283279 -0.13184214191665
3 4.23063517 4.30108746 -2.19074133542439 -4.41507101030095 12.71707188 13.25140054 153.68175277 134.86936474 -0.165324151323347 -0.343771732556249 -0.0660472686992506 -0.131928043142821
4 4.23988475999999 4.32485947000001 -2.50568361297421 -5.19756920578821 12.84848487 13.58000064 154.34884936 137.089187 -0.198895783626512 -0.440670026428748 -0.0681468127552307 -0.136409146760869
5 4.25252592000001 4.36609269999999 -2.916136714331 -6.48567603890068 12.9053612 13.68157105 154.42655243 137.16049224 -0.205111052531777 -0.451961755488597 -0.0679887706386637 -0.137653684753516
6 4.25230168999999 4.36390211 -2.90564274445259 -6.42800173934074 12.95486401 13.77222329 154.50298713 137.25910021 -0.211362050177399 -0.464955372974814 -0.0695768832389376 -0.143310107155486
7 4.25256516000001 4.36379031 -2.90423995557923 -6.40325479736823 12.99829956 13.85341601 154.57588596 137.36537425 -0.217512837264152 -0.477652197381133 -0.0714926904212092 -0.149189531788821
8 4.25303167 4.36428355 -2.90790449881482 -6.39349983458295 13.03654962 13.92595385 154.6434456 137.46781154 -0.223495407233003 -0.489763936985483 -0.0736001064583434 -0.15503337218847
9 4.25358292 4.36497376 -2.91391733766186 -6.38938984148687 13.07042703 13.99100896 154.70579345 137.56437639 -0.229236613043355 -0.501208639310519 -0.0758121888034538 -0.160743007865719
10 4.25416559 4.36573289 -2.921183344119 -6.38817636881886 13.1006257 14.04966053 154.76355732 137.65524716 -0.234715557341886 -0.511980445675221 -0.0780684335711612 -0.166255350536474
11 4.25475672 4.36651320999999 -2.9292447850755 -6.38884881831055 13.12771272 14.10281668 154.81736269 137.74099845 -0.239928513991629 -0.52209569784003 -0.0803224820122921 -0.171529778023256
12 4.25534514999999 4.36729312999999 -2.93784434498954 -6.39088668339878 13.15215003 14.15121067 154.86744738 137.82209739 -0.244967339123107 -0.531575692198373 -0.082538748202964 -0.176535240093529
13 4.25595192999999 4.36805984999999 -2.94680907608283 -6.3938916586829 13.17431395 14.19543959 154.91494485 137.89890069 -0.249526321113407 -0.540443799573424 -0.084682686195606 -0.18125588973767
14 4.25648712 4.36880475000001 -2.95579493876974 -6.39753756909816 13.19447678 14.23599653 154.95936434 137.97171223 -0.25397708539208 -0.548728743512314 -0.086755433022006 -0.185685560417681
15 4.2570376 4.36952107999999 -2.9648677367402 -6.40158217019601 13.21291205 14.27330418 155.00124956 138.04096656 -0.258148994549117 -0.556458022940987 -0.0887321268706103 -0.189824823233906
16 4.25756613999999 4.37019842999999 -2.97382599789307 -6.40593052722664 13.229824 14.30770776 155.04078721 138.10688698 -0.262074397879246 -0.56366232199882 -0.0906072832641058 -0.193678698854299
17 4.25807196000001 4.37084494 -2.98257361900036 -6.41043430703763 13.24538562 14.33946903 155.07814911 138.16928016 -0.26576319671014 -0.570360611652546 -0.0923775864945924 -0.197255303959736
18 4.25855394000001 4.37145123 -2.9910452037131 -6.41472879151154 13.25974352 14.36868207 155.11349644 138.22668643 -0.269225212983329 -0.576533749822971 -0.0940425922946702 -0.200565552350042
19 4.25901222 4.37199532999999 -2.9991998873388 -6.41767902811149 13.27302332 14.39463197 155.14697061 138.27016876 -0.272472243381174 -0.584729520867057 -0.0956035062751255 -0.203605248001111
20 4.25944711999999 4.37418730000001 -3.00701145519817 -6.41337186328713 13.28533327 14.4226722 155.17870113 138.33814377 -0.275515576919716 -0.587823376081119 -0.0970628281963997 -0.206314757927615
21 4.25985848999999 4.37300110000001 -3.01446711366886 -6.42500999134052 13.29676489 14.44643812 155.20878712 138.39234781 -0.278366155325315 -0.592853648452007 -0.0984241410846209 -0.208933126677309
22 4.26024672000001 4.37353705000001 -3.02155166678392 -6.43060660158201 13.30739947 14.46841779 155.23734996 138.44194905 -0.28103545096296 -0.597518797520522 -0.0996917535605775 -0.21132467722849
23 4.26061285999999 4.37399974999999 -3.02827817839473 -6.43456363073844 13.31730778 14.48888578 155.26448489 138.48874354 -0.283534523298599 -0.601839405250132 -0.100869874781708 -0.213514878621751
24 4.26095782 4.37441896999999 -3.03465316875506 -6.43795024207019 13.32655147 14.50798515 155.29027049 138.53320535 -0.285874903121325 -0.605847827132052 -0.101963407663874 -0.21551890615936
25 4.26128318000001 4.37480441 -3.04068234768572 -6.44099989022658 13.33518591 14.52582259 155.31479518 138.57551185 -0.288061990074127 -0.609566456708905 -0.102977096346606 -0.217350596493091
26 4.26158759999999 4.37515976 -3.04637731582929 -6.44376306392135 13.34326031 14.54249043 155.33799692 138.61576692 -0.290156198776387 -0.613015483661442 -0.103916282953548 -0.219023318728958
27 4.26188765 4.37548743 -3.05177179035503 -6.44625132270676 13.35081949 14.55807143 155.36030835 138.65406229 -0.292010904627006 -0.616214336779677 -0.104781031590477 -0.22054926768098
28 4.26214244000001 4.37578935 -3.05678750087938 -6.4484752265341 13.3578908 14.57264219 155.38142478 138.69052134 -0.293820372422942 -0.619181887216712 -0.105585856610873 -0.221939716196104
29 4.26239723999999 4.37606788 -3.06156730426167 -6.45046700885681 13.36452042 14.58627207 155.40154693 138.72522706 -0.295502513020423 -0.621935261074455 -0.106328598025272 -0.223204966068266
30 4.26263628000001 4.37632474 -3.06607630596216 -6.45223909108013 13.37073923 14.59902487 155.42072572 138.75826583 -0.297077329574108 -0.624490293421474 -0.10701394230928 -0.224354683908899
31 4.26286060000001 4.37656151000001 -3.07032993005618 -6.45380871540418 13.37657733 14.6109588 155.43895961 138.78971947 -0.298573134765419 -0.626861561953945 -0.10764606012323 -0.225398181327236
32 4.26307692000001 4.37677959 -3.0743563039827 -6.45519292007862 13.38206333 14.62212835 155.45607896 138.81967087 -0.300050133173258 -0.629062313176846 -0.108226833220314 -0.226344045809029
33 4.26330677 4.37697974 -3.07814653126037 -6.45641061472989 13.38723747 14.6325923 155.47289991 138.84795887 -0.301247050991265 -0.631191891696091 -0.108752976695442 -0.227200701172208
34 4.26346786 4.37719321000001 -3.08165086311881 -6.45753086172455 13.39207114 14.64240082 155.48884883 138.8753864 -0.302412092677841 -0.632977229648674 -0.109244900776559 -0.227969885547793
35 4.26362661999999 4.37733261 -3.08493301453797 -6.45838148220709 13.39660856 14.65160248 155.5039255 138.90150923 -0.303573783521387 -0.634776985621215 -0.109702478049442 -0.228675905386737
36 4.26379387 4.37749807000001 -3.08811312766221 -6.4593594820562 13.40087601 14.66031594 155.51831243 138.92749934 -0.304646659638692 -0.636475012794264 -0.110121507949273 -0.229294519659135
37 4.26395045000001 4.37767213 -3.09111118602493 -6.46095592031639 13.40488738 14.66824003 155.53202549 138.95036228 -0.305653197547144 -0.637998688554873 -0.110505791720357 -0.229832282302723
38 4.26409743 4.37779779 -3.09393423896512 -6.46126718797487 13.40865664 14.67598418 155.54509152 138.97267004 -0.306598521657548 -0.639396437535226 -0.110857959275592 -0.230507905441584
39 4.26423593 4.37791316 -3.09659364518873 -6.46148635977772 13.4121976 14.68314633 155.55754327 138.99368488 -0.307487071828433 -0.640700575371554 -0.111180168331813 -0.230915751526055
40 4.26436654 4.37801828 -3.09910406781196 -6.46159331602114 13.4155226 14.68981344 155.56940772 139.01372244 -0.308323059329425 -0.641922278439182 -0.111474576166415 -0.231292224024671

Figure 7: Aggregate Response of Output to a Wealth Shock

Years Baseline % dev. from ss Relax RBC % dev. from ss Relax LCR % dev. from ss Relax tighter LCR % dev. from ss
-1 0 0 0 0
0 -0.00048263182975461 -0.00048263182975461 -0.00048263182975461 -0.000783242846395638
1 -1.00947860161004 -0.965183354420006 -0.865000852076975 -0.756582956075278
2 -1.86958743842133 -1.82300036589513 -1.69955829952568 -1.60635819040013
3 -2.07993147805588 -2.03061067003405 -1.91839338857909 -1.84717180103681
4 -1.88275033894307 -1.84840577265373 -1.74029138666566 -1.67775281107974
5 -1.70133992016824 -1.68317443049192 -1.61493716045059 -1.58555774010823
6 -1.53624424256098 -1.55156625280301 -1.50381865487728 -1.56112275774565
7 -1.38635012590433 -1.3941884271828 -1.35632589759483 -1.41454414152696
8 -1.25032606286085 -1.25366468168484 -1.22247249064593 -1.28261510629747
9 -1.12714485999628 -1.12769736861847 -1.10129898345596 -1.16354486896334
10 -1.01545664653597 -1.01428575063622 -0.991334318999023 -1.05561974057066
11 -0.91429750012081 -0.912092682966645 -0.894442368388681 -0.95768947922565
12 -0.822423767056449 -0.819618981294667 -0.802475183505948 -0.868765206228346
13 -0.739005469544452 -0.735857340437278 -0.72002431385009 -0.788029579701458
14 -0.663321562374776 -0.660007198895414 -0.645712539715191 -0.714643853591824
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