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 |