Procyclicality,Bank Lending,and the Macroeconomic Implications of a Revised Basel Accord

Bank regulators are in the process of implementing revised regulatory capital standards. However, the macroeconomic effects of a revised Basel Accord are uncertain. Examining the various channels through which the revised Accord may influence economic output suggests that making the buffer stock of capital positively related to the business cycle is necessary to reduce procyclicality. This can be accomplished by bank regulators using either enhanced supervisory powers or increased financial disclosure.     

Effects of the New Basel Capital Accord on Bank Capital Requirements for SMEs

Using data from three countries (US, Italy and Australia) and surveying related studies from several other countries in Europe, we investigate the effects of the New Basel Capital Accord on bank capital requirements for small and medium sized enterprises (SMEs). We find that, for all the countries, banks will have significant benefits, in terms of lower capital requirements, when considering small and medium sized firms as retail customers. But they will be obliged to use the Advanced IRB approach and to manage them on a pooled basis. For SMEs as corporate, however, capital requirements will be slightly greater than under the existing Basel I Capital Accord. We believe that most eligible banks will use a blended approach (considering some SMEs as retail and some as corporate). Through a breakeven analysis, we find that for all of our countries, banking organizations will be obliged to classify as retail at least 20% of their SME portfolio in order to maintain the current capital requirement (8%). JEL classification: G21, G28     

从固定资产重估看银行资本的提升

分析在国内外会计准则下,通过固定资产重估提升银行资本、缓解监管压力的可行性。根据我国会计准则的相关要求,在固定资产重估方面,目前只能通过投资性房地产重估、固定资产转换与并购重组三种路径提升银行资本,从而达到提升资本充足率的目的,但前两种方法却在一定程度上降低了杠杆率水平,且其市场实施效果也并不乐观。     

How to make regulators and shareholders happy under Basel III

In addition to the Basel II capital ratio, Basel III requires banks to respect additional ratios, such as leverage ratio, liquidity coverage ratio and net stable funding ratio. Banks are required to be compliant with all four constraints simultaneously. Our article provides a framework for banks to help their search for an optimal transition from Basel II to Basel III. Recognizing that banks’ return and the four constraints are of linear type, this search can be formulated as a linear program and solved by standard software. Incorporating uncertainty on future defaults, risk weights and withdrawals and formulating the problem as a Chance constrained model does not only yield optimal transition strategies but also determines the internal thresholds for the Basel III-ratios. Our approach needs two standard inputs from controlling: profit margins per product and non-financial adjustment costs to expand or cut back business. The adjustment cost can be used to calibrate the model to the current business mix. This calibration can be done by bank outsiders and allows the model to be used in impact studies to replace ad hoc strategies. To highlight its practicality, we apply our model to a typical German bank with a business mix that complies with Basel II, but not with the Basel III-, capital-, leverage- and net stable funding-ratio. Assuming that its business model is optimal under Basel II, we find that this bank would achieve compliance restructuring its funding side by replacing interbank funding by capital and retail deposits. Additional uncertainty would amplify the magnitude of the changes, but would still affect the same positions. These findings are robust against alternative margin definitions and adjustment cost levels.     

Minimizing Basel III Capital Requirements with Unconditional Coverage Constraint

The new Basel III framework increases the banks’ market risk capital requirements. In this paper, we introduce a new risk management approach based on the unconditional coverage test to minimize the regulatory capital requirements. Portfolios optimized with our new minimum capital constraint successfully reduce the Basel III market risk capital requirements. In general, portfolios with value-at-risk and conditional-value-at-risk objective functions and underlying empirical distribution yield better portfolio risk profiles and have lower capital requirements. For the optimization we use the threshold-accepting heuristic and the common trust-region search method.     

Financial stability and Basel II

The Basel II Advanced Internal Ratings (AIRB) approach is compared to capital requirements set using an equilibrium structural credit risk model. Analysis shows the AIRB approach undercapitalizes credit risk relative to regulatory targets and allows wide variation in capital requirements for a given exposure owing to ambiguity in the definitions of loss given default and exposure at default. In contrast, the Foundation Internal Ratings Based (FIRB) approach may over-capitalize credit risk relative to supervisory objectives. It is unclear how Basel II will buttress financial sector stability as it specifies the weakest regulatory capital standard for large complex AIRB banks.      

Bank Capital: Lessons from the Financial Crisis

Using a multicountry panel of banks, we study whether better capitalized banks experienced higher stock returns during the financial crisis. We differentiate among various types of capital ratios: the Basel risk‐adjusted ratio, the leverage ratio, the Tier 1 and Tier 2 ratios, and the tangible equity ratio. We find several results: (i) before the crisis, differences in capital did not have much impact on stock returns; (ii) during the crisis, a stronger capital position was associated with better stock market performance, most markedly for larger banks; (iii) the relationship between stock returns and capital is stronger when capital is measured by the leverage ratio rather than the risk‐adjusted capital ratio; (iv) higher quality forms of capital, such as Tier 1 capital and tangible common equity, were more relevant.     

The Impact of Owner’s Identity on Banks’ Capital Adequacy and Liquidity Risk

In this article, we test the potential impact of the owner’s identity on banks’ capital adequacy and liquidity risk as defined by the Basel III regulatory framework. Using a unique dataset on a sample of banks domiciled in the Middle East and North Africa region, we find that the ownership structure is an important driver of banks’ regulatory capital and liquidity risk. Private and foreign investors exhibit a stronger preference for higher levels of capital, whereas the impact of government ownership on banks’ risk remains inconclusive. Moreover, privately-owned banks evidenced lower levels of liquidity risk compared to the other groups during the last financial crisis because of tighter budget constraints and more compelling liquidity needs.     

The good and bad news about the new liquidity rules of Basel III in Western European countries

New liquidity rules phased in under Basel III define the new net stable funding ratio (NSFR) to promote sustainable funding structures at financial institutions. In this paper, we analyze characteristics and drivers of NSFR for a sample of 921 Western European banks between 1996 and 2010. We find that a majority of banks have historically not fulfilled NSFR minimum requirements, in particular larger and faster growing institutions as well as banks also active in asset management and investment banking. Many of them have started increasing NSFR with the onset of financial crisis 2008 while this ratio had been sliding in earlier years. Interestingly, potential advantages in funding costs for low NSFR banks do not seem to translate into higher profitability and results of these banks are more volatile.     

商业银行资本工具创新及定价研究

资本工具的创新可以拓展银行资本补充渠道和空间,提升银行补充资本的能力,强化银行业的资本约束,增强风险管理水平,推动商业银行业务转型,增强服务实体经济的能力.本文在阐述我国资本工具的应用及创新背景的基础上,通过建立二叉树模型,探讨了我国新型资本工具定价问题并提出相关建议.     

Financial Econometrics, Financial Innovation, and Financial Stability

Innovation in financial markets, spurred to a significant extentby developments in finance theory and financial econometrics,has played a critical role in spurring economic growth. However,the current turmoil in financial markets raises fundamentalquestions about the nature of financial innovation and the roleof policymakers in maintaining financial stability. This paperexplores these questions, focusing on the complexities of modelingfinancial risk and the potential trade-off between policiesaimed at combating short-run financial instability on the onehand and the potential financial market distortions and moralhazard that can result from such policies on the other.     

金融创新、金融风险与中国金融监管模式

金融创新对宏观政策的制定、金融市场运行、商业银行透明度均有影响,它能够管理和控制金融风险,也能增大金融风险,还将对金融稳定性产生很大的负面影响。中国的金融监管应建立健全银行、证券、保险监管机构间以及与宏观调控部门的协调机制,通过中国金融监督管理委员会与国际性金融监管组织的合作,积极参与国际金融监管准则的制定,借鉴国外金融监管经验,不断提高金融监管的专业化水平。     

《巴塞尔III最终方案》的影响及应对

《巴III最终方案》致力于提高银行风险加权资产计量的审慎性、一致性、可比性和透明度,主要对有关信用风险、市场风险、操作风险、信用估值调整的计量方法又进行了一定的改进,并且进一步明确提出了资本底线、杠杆率缓冲等方面的要求。巴塞尔委员会的全球定量影响测算显示,新监管规则对各组银行的影响不尽相同,一些银行还将面临资本缺口。由于我国银行资本监管较为严格,各项监管规则修订的影响相互抵消后,对我国银行业资本充足水平的整体影响可能并不大,但考虑到各银行的异质性,不同银行实际受影响程度会呈现差异。为此,我国银行业需坚持实行严格而科学的资本管理,合理确定过渡期,避免对银行风险管控能力、宏观经济和金融稳定产生较大冲击。     

贷款证券化、监管资本套利与资本监管改进

巴塞尔协议的资本充足率指标可以反映银行部门吸收风险损失的能力,但是无法监测和控制银行体系外的贷款总额和累积的信用风险。20世纪70年代的贷款证券化创新导致银行进行监管资本套利,并使得资本充足率监管趋于失效。本文基于贷款证券化下银行贷款余额与社会贷款余额的差异,分析银行监管资本套利的微观机制并提出改进资本监管的建议。     

金融企业资本管理的规范与创新

随着金融业务的快速发展,我国金融企业的资本管理工作已经取得了较大的进展,但受各种因素的影响,资本管理仍然存在着管理目标单一、手段落后、短期行为严重等问题。因此,我国应从定期编制资本计划、建立资本充足率预警机制、加快开发或引进资本管理系统等方面着手,加强资本管理工作。     

Deposit Insurance, Capital Regulations, and Financial Contagion in Multinational Banks

Abstract:  Banking sector globalization has caused an expansion in foreign-owned bank assets. In this paper we analyse the effects of a MNB's liability structure upon its investment in a foreign country. We develop a model in which capital adequacy requirements introduce some deliberate underinvestment which counters deposit insurance-induced overinvestment. Diversification is unattractive with fixed bank capital requirements, because it reduces the expected value of the deposit insurance net. This effect applies in multinational banks (MNBs), where shocks to the home country economy alter the value of the deposit insurance net and hence affect overseas lending incentives. Thus, MNBs act as a channel for financial contagion. We discuss the policy implications of our results.     

The impact of Basel III on financial (in)stability: an agent-based credit network approach

The Basel III accord reacts to the events of the recent financial crisis with a combination of revised micro- and new macroprudential regulatory instruments to address various dimensions of systemic risk. This approach of cumulating requirements bears the risk of individual measures negating or even conflicting with each other which might lessen their desired effects on financial stability. We provide an analysis of the impact of Basel III’s main components on financial stability in a stock-flow consistent agent-based computational economic model. We find that the positive joint impact of the microprudential instruments is considerably larger than the sum of the individual contributions to stability, i.e. the standalone impacts are non-additive. However, except for the buffers, the macroprudential overlay’s impact is either marginal or even destabilizing. Despite its simplicity, the leverage ratio performs poorly, especially when associated drawbacks are explicitly taken into account. Surcharges on SIBs seem to rather contribute to financial regulations complexity than to the resilience of the system.     

金融发展、融资约束与企业创新

金融发展如何促进企业创新是金融发展理论的基本问题,也是促成中国经济转型的现实问题。基于世界银行中国企业数据,考察金融发展和融资约束对企业创新的影响。研究发现,融资约束是企业创新的显著阻碍,而金融发展能显著促进企业创新。进一步地,区分创新路线异质性发现,融资约束对独立创新或产学研协同创新具有阻碍作用,对产业链协同创新不存在显著关系;金融发展有利于独立创新,对协同创新没有显著促进。区分企业异质性发现,融资约束的阻碍作用对中小企业和民营企业尤甚,对大型企业或国有和外资企业影响较小;但是,金融发展对大型企业的促进却强于中小企业,同时对民营企业和出口企业的正向影响更强。     

区域科技型中小企业自主创新金融支持体系研究——基于面板数据单位根和协整的分析

基于长江三角洲、珠江三角洲、东北老工业基地和内陆科技圈四个科技区域的数据,通过面板数据单位根检验,协整检验和误差修正模型,对这四个科技区域科技型中小企业自主创新与金融体系的长期关系和短期关系进行实证研究。结果显示,四个科技区域的金融体系均对科技型中小企业自主创新有长期的支持效应,但金融体系的短期支持效应有较大的区域差异,长江三角洲和珠江三角洲金融体系的短期支持效应显著,但有一定的时滞性,而东北老工业基地和内陆科技圈金融体系的短期支持效应不显著。     

基于金融创新的投资者决策突变与央行危机救助

基于一个纳入奈特不确定性的决策模型,从金融创新及其产生的投资者不确定性出发,探讨金融危机中投资者决策突变和央行危机救助的时点与方式,结果表明,金融创新的复杂性增加了投资者的不确定性,在不了解金融创新工具真实风险的情况下只好选择以应付最坏情况的方案来应对冲击,央行危机救助的时点应放在投资者对未来的不确定性突然增加并开始调整原有策略的时刻,救助的主要措施是承诺在一定条件下购买资产或注入流动性,从而降低投资者的不确定性,避免投资者决策突变成为群体行为。