应急资本工具在限制银行风险承担中的作用北大核心CSSCISSCI

本文研究了应急资本参与者在限制银行风险承担中的作用及其条件依赖性。研究表明,在适当的资本区间内,应急资本债权人有市场约束激励,同时银行股东有动机限制其更大的风险承担/转移倾向。从管控银行风险承担的视角来看,监管当局有引入应急资本工具(或嵌入转股条款的创新型资本工具)的必要性和适当性,但须基于不同银行资本水平的差异进行结构性设计和区别对待。监管当局可允许或强制高资本银行发行一定规模的应急资本,但对低资本银行而言,应在其申报的资本补充和增长计划的评估基础上,审慎核准其应急资本的发行资格和发行规模。     

资本约束对商业银行资产配置行为的影响——基于175家商业银行数据的经验研究

本文使用1998～2009年我国175家商业银行的资产配置数据,研究了资本监管制度对银行资产配置行为的影响。本文发现,现行的资本监管制度对银行资产配置行为具有重要影响,资本监管制度实施之后,银行依据自身资本水平调整资产结构,资本充足银行持有更多的风险资产,贷款比例较高;而资本不足银行则减持风险资产,贷款比例下降。此外,由于不同规模商业银行面临的融资约束不同,资本水平对资产配置行为的影响存在一定的差异,资本对城市及农村商业银行的约束效应更明显。本文的这些发现为监管当局的资本监管政策提供了经验证据,并提出进行差异化监管的政策建议。     

加强我国商业银行次级债风险约束作用的思考——基于“相互持有”视角的理论分析

本文基于我国银行间相互持有次级债的现实背景,以数理模型和数值计算方式研究了银行间相互持有次级债可能引致的潜在后果,发现银行间相互持有次级债尽管能提高其资本充足比率,但在某种程度上削弱了次级债的市场约束功能,有可能加剧银行业的系统性风险。进一步研究表明持债银行资产之间的相关性、持债银行自身的风险承担、以及相互持有规模是导致次级债市场约束功能弱化的重要诱因,建议减少银行间相互持有次级债的数量.减弱银行资产相关性并促进次级债投资主体的多元化。     

资本充足率影响我国商业银行资产风险的实证研究

<正>一、引言作为巴塞尔系列协议以及各国监管当局的监管指标,对商业银行的资本充足率进行监管被认为能够约束商业银行的风险行为,增强其稳定水平。资本充足率越高,银行承担的风险越低。本文使用银行风险加权资产作为商业银行资产风险的度量     

银行资本、风险承担与杠杆率约束——基于中国上市银行的实证研究(2003-2012年)北大核心CSSCISSCI

本文基于15家中国上市银行2003-2012年数据,应用三阶段最小二乘法(3SLS)考察了杠杆率约束对银行资本、风险承担行为的影响。研究结果表明,兼顾了杠杆率约束的资本监管促进了我国商业银行资本水平的不断提高与风险水平的逐步下降,银行资本变动与风险水平变动之间存在显著的负相关关系。面对越来越严的监管标准,监管压力不仅作用于资本相对不足的银行,同样也作用于资本充足性银行,资本水平较高的银行具有更强的资本补充能力,向目标资本水平调整的速度更快。本文认为,《巴塞尔协议Ⅲ》关于杠杆率与资本充足性相结合的监管精神强化了金融风险监管,对未来我国商业银行表外业务及风险计量方法的使用具有重要的意义。     

商业银行资本与风险承担行为研究--基于资本监管的视角

通过对比16家上市商业银行2004—2014年资本监管新标准颁布前后的数据,研究资本监管对商业银行资本与风险承担行为产生的动态影响。分析的结果表明：在实施资本监管新标准之前,资本监管对资本不足和资本缓存不足的银行提高资本充足水平产生了积极的影响,且这种积极影响在实施资本监管新标准之后持续发挥作用。而资本缓存充足的银行在实施新政策之前倾向于投资高风险资产,但在实施新政策之后为了向监管机构展示其良好的经营状况,会继续提高资本水平。资本约束对于降低银行资产风险水平的作用并不显著。     

商业银行资本与风险承担行为研究——基于资本监管的视角

通过对比16家上市商业银行2004—2014年资本监管新标准颁布前后的数据,研究资本监管对商业银行资本与风险承担行为产生的动态影响。分析的结果表明:在实施资本监管新标准之前,资本监管对资本不足和资本缓存不足的银行提高资本充足水平产生了积极的影响,且这种积极影响在实施资本监管新标准之后持续发挥作用。而资本缓存充足的银行在实施新政策之前倾向于投资高风险资产,但在实施新政策之后为了向监管机构展示其良好的经营状况,会继续提高资本水平。资本约束对于降低银行资产风险水平的作用并不显著。     

银行信用评级的信息质量及其次级债事前约束北大核心CSSCISSCI

本文研究了银行信用评级的信息内容和信息质量及其在次级债风险定价或事前约束中的反映情况。研究表明信用评级不仅在次级债风险定价中得到了显著反映,还非充分内嵌了政府隐性救助预期和银行风险特征等丰富信息;较之主体信用评级,上市银行风险的市场测度指标能更显著地解释次级债的发行溢价,然而,投资者在政府隐性救助预期下进行了"扭曲"的风险定价,它们不仅未对上市银行的风险承担给予应有的市场约束,反而还可能鼓励其未来更大的风险承担倾向。研究表明,将次级债事前约束的缺失归咎于外部评级失当以及非效率市场不能提供有价值的风险信号有失偏颇。     

银行资本监管的国内外文献综述

引入资本监管可以在一定程度上约束银行过度承担风险的动机。国内外文献就资本监管对银行资本与风险行为影响的理论研究主要从三个方面展开：资本约束对银行资产组合（风险承担行为）的影响;资本监管与银行的道德风险问题;基于银行的异质性,研究资本约束对银行行为的影响。由于理论研究未能得出一致结论,学者们转而从实证角度进行了研究。近几年,学者们还就资本监管的亲周期性展开了探讨,并提出了建立逆周期资本监管的一些建议。     

对当前商业银行密集发行次级债补充资本金的思考

当前,我国商业银行补充资本金的一个常用手段是发行次级债,但我国商业银行次级债市场存在发行目的单一、互持问题严重、市场约束失效的问题。提高商业银行的经营管理水平,改善银行负债结构以及改善银行风险管理,拓宽商业银行次级债市场参与主体,让商业银行以外的机构投资者更多地参与次级债市场以分散银行体系的风险,这样才能达到通过发行次级债补充资本金以提高银行抗风险能力的目的。     

Does Subordinated Debt Play a Role for Market Discipline?

This paper examines the link between the issuance of subordinated debt by commercial banks and market discipline. Using cross-sectional and time-series data from 2002 to 2007, we empirically examine the relationship between banks' risk level and their decisions to issue subordinated debts in Taiwan. In particular, we test the hypothesis that the commercial banks with low risk levels prefer to issue subordinated debts more than high-risk banks do, and we reject the hypothesis. We conclude that the application of subordinated debt is not a mature channel for providing market discipline for commercial banks in Taiwan. We offer potential reasons for this finding and discuss the policy implications of our findings.     

我国银行次级债市场的衍生功能与改革方向

本文研究了银行次级债的债项特征设计对其市场约束功能和附属资本功能的影响．在此工作的基础上,再结合我国银行次级债市场的实际情况和具体特征,对其衍生功能进行了中外对比式的逻辑推理,并从次级债的债项特征、市场建设、法定监管等视角讨论了在满足附属资本功能的同时．如何尽可能地激发其市场约束功能,为我国银行次级债市场的改革提供了有意义的启示。     

Do subordinated debt holders discipline bank risk-taking? Evidence from risk management decisions

I test the market discipline of bank risk hypothesis by examining whether banks choose risk management policies that account for the risk preferences of subordinated debt holders. Using around 500,000 quarterly observations on the population of U.S. insured commercial banks over the 1995–2009 period, I document that the ratio of subordinated debt affects bank risk management decisions consistent with the market discipline hypothesis only when subordinated debt is held by the parent holding company. In particular, the subordinated debt ratio increases the likelihood and the extent of interest rate derivatives use for risk management purposes at bank holding company (BHC)-affiliated banks, where subordinated debt holders have a better access to information needed for monitoring and control rights provided by equity ownership. At non-affiliated banks, a higher subordinated debt ratio leads to risk management decisions consistent with moral hazard behavior. The analysis also shows that the too-big-to-fail protection prevents market discipline even at BHC-affiliated banks.     

Funding advantage and market discipline in the Canadian banking sector

We employ a comprehensive data set and a variety of methods to provide evidence on the magnitude of large banks’ funding advantage in Canada in addition to the extent to which market discipline exists across different securities issued by the Canadian banks. The banking sector in Canada provides a unique setting in which to examine market discipline along with the prospects of proposed reforms because Canada has no history of government bailouts, and an implicit government guarantee has been in effect consistently since the 1920s. We find that large banks have a funding advantage over small banks after controlling for bank-specific and market risk factors. Large banks on average pay 80 basis points and 70 basis points less, respectively, on their deposits and subordinated debt. Working with hand-collected market data on debt issues by large banks, we also find that market discipline exists for subordinated debt and not for senior debt.     

The emergence of market monitoring in Japanese banks: Evidence from the subordinated debt market

This paper uses a unique data set on the spreads of subordinated debts issued by Japanese banks to investigate the presence of market monitoring. The results show that subordinated debt investors punished weak banks by requiring higher interest rates. Moreover, I find that the spreads and the sensitivity of spreads to Moody’s bank ratings both increased dramatically after the Japanese government allowed a large city bank, Hokkaido Takushoku Bank, to fail and passed the Financial Reform Act and the Rapid Revitalization Act in the late 1990s. These results suggest that the decline of conjectural guarantee led to the emergence of market monitoring. In addition, I find the relationship between spreads and accounting measures of bank risk to be quite fragile.     

Ownership structure, market discipline, and banks’ risk-taking incentives under deposit insurance

The paper studies the effects of market discipline by creditors and ownership structure on banks’ risk taking in the presence of partial deposit insurance. An agency-cost model explains how the effects of creditor discipline and shareholder control are interdependent, the non-monotonic effect of shareholder control, and the role of leverage. Panel regressions on several hundred banks worldwide 1995-2005 confirm a negative individual risk effect of creditor discipline and the expected convex effect of shareholder control. Increased shareholder control significantly strengthens the negative effect of market discipline on asset risk, but joint effects on overall default risk are limited.     

Basel II and the Need for Bank Distress Resolution Procedures*

It is argued that without increased market discipline Basel II is not likely to resolve the regulatory problem caused by explicit and implicit guarantees of depositors and other creditors of banks. One way to enhance market discipline is to implement proposals for mandatory subordinated debt. For these proposals to achieve their objective, the non‐insurance of holders of subordinated debt must be credible. Increased credibility of non‐insurance of one or several groups of creditors could be enhanced if distress resolution procedures for banks were pre‐specified, and if they made possible bank failures without serious disruption of the financial system. The existence of rules for dealing with banks in distress not only enhances the credibility of non‐insurance of some creditors, it also allows for predictability of distress resolution costs for shareholders and management of banks. Such costs—if predictable—reduce the moral hazard incentives caused by deposit insurance schemes.     

Has market discipline on banks improved after the Dodd–Frank Act?

We investigate whether or not market discipline on banking firms changed after the Dodd–Frank Wall Street Reform and Consumer Protection Act (DFA) of 2010. If market discipline is improved, we should see a lower discount for size on yield spreads, particularly for banks identified as too-big-to-fail (TBTF) or systemically important (SIFI). Using secondary market subordinated debt transactions we find that the size discount is reduced by 47% and TBTF discount is reduced by 94% after the DFA. The DFA has been effective in reducing, but not in eliminating the size and TBTF discounts on yield spreads. Market discipline of banks appears to have improved further after the rating criteria changes by Moody’s.     

The New Basel Capital Accord: Making it Effective with Stronger Market Discipline

In January 2001 the Basel Committee on Banking Supervision proposed a new capital adequacy framework to respond to deficiencies in the 1988 Capital Accord on credit risk. The main elements or 'pillars' of the proposal are capital requirements based on the internal risk-ratings of individual banks, expanded and active supervision, and information disclosure requirements to enhance market discipline. We discuss the incentive effects of the proposed regulation. In particular, we argue that it provides incentives for banks to develop new ways to evade the intended consequences of the proposed regulation. Supervision alone cannot prevent banks from 'gaming and manipulation' of risk-weights based on internal ratings. Furthermore, the proposed third pillar to enhance market discipline of banks' risk-taking is too weak to achieve its objective. Market discipline can be strengthened by a requirement that banks issue subordinated debt. We propose a first phase for introducing a requirement for large banks to issue subordinated debt as part of the capital requirement.     

Bank Contingent Capital: Valuation and the Role of Market Discipline

This paper develops a structural model to evaluate contingent capital notes (CCN) of Basel III under alternative regulatory closure rules. Our dynamic model has a fixed default barrier and at specific discrete time points an additional higher default barrier depending on the closure threshold. The closed-form expressions of CCN and subordinated debts (SD) in the simple Merton model are presented to understand the convex relationship between the price and capital ratio trigger of CCN and to examine the effects of closure rules on CCN and SD through their derivatives’ properties. Our numerical results in the more general model show that a lax closure rule increases the price of SD and distorts the risk information of issuing banks, but not so for CCN. The policy implications are that CCN are more effective than SD in terms of enhancing market discipline because the price/yield information of CCN is more sensitive to the issuing bank’s risk than SD and will not be distorted by regulatory closure rules.