A Q-theory of Banks

Juliane Begenau, Stanford GSB, NBER and CEPR, Saki Bigio, UCLA and NBER, Jeremy Majerovitz, University of Notre Dame, and Matias Vieyra, Bank of Canada

Bank capital requirements are based on book values, which are slow to reflect losses. In this paper, we develop a dynamic model of banks to study the interaction of regulation and delayed accounting. Our model explains four stylized facts: book and market values diverge during crises, the market-to-book ratio predicts future profitability, book leverage constraints rarely bind strictly even as market leverage fans out during crises, and banks delever gradually after net-worth shocks. We show how delayed accounting can allow the regulator to achieve better outcomes than immediate (mark-to-market) accounting. In an estimated version of the model, the optimal regulation couples faster loan-loss recognition with a modest relaxation of the book leverage constraint.