资本监管与银行最优资本结构

资本监管已成为现代商业银行监管体系的核心,而现有研究对资本监管的重要性缺乏系统的理论研究。基于此,本文从MM理论出发,逐步分析并得出:银行自身经营的特殊性、银行作为一般企业所追求的企业价值最大化行为以及银行作为特殊企业所得到的银行安全网保护等因素使得银行形成不断提高最优资产负债率和降低资本充足率的内在机制,逐步分析不同情形下的银行最优资本结构,进而说明资本监管对于维系银行经营的稳健性和审慎性以及减少银行破产而导致的负外部性等方面的重要作用。     

资本监管与银行最优资本结构

资本监管已成为现代商业银行监管体系的核心,而现有研究对资本监管的重要性缺乏系统的理论研究。基于此,本文从MM理论出发,逐步分析并得出：银行自身经营的特殊性、银行作为一般企业所追求的企业价值最大化行为以及银行作为特殊企业所得到的银行安全网保护等因素,使得银行形成不断提高最优资产负债率和降低资本充足率的内在机制,逐步分析不同情形下的银行最优资本结构,进而说明资本监管对于维系银行经营的稳健性和审慎性以及减少银行破产而导致的负外部性等方面的重要作用。     

政府监管及银行规模对商业银行风险行为的影响

08年爆发的全球金融危机,本质上是银行危机。为此,研究哪些因素对商业银行风险行为产生显著影响具有十分重大的意义。本文在前人研究的基础上,对中国银行业市场进行了相关考察研究,以超额资本充足率和法定存款准备金率为政府监管度量指标,结合商业银行自身规模,以中国9家上市银行2008年3月-2012年9月期间的季度数据为研究样本,实证研究了政府监管和银行规模对中国商业银行风险行为的影响。研究表明：银行规模和法定存款准备金对中国商业银行风险行为产生显著负向影响,超额资本充足率对银行对抗风险具有显著的正向影响。     

发展中国家银行资本监管的特殊性研究

发展中国家制定和统计资本充足率标准时存在特殊问题。发展中国家特有的过度银行化现象又使得发展中国家的银行资本监管和宏观经济波动之间的联系更为密切。因而, 在我国推行新巴塞尔资本协议也存在政府隐性担保退出、严格计算资本充足率标准、过度银行化问题严重,增加资本要求导致信贷萎缩风险大等特殊问题。     

杠杆率监管:目标、演进与现状

金融机构过度承担风险导致杠杆倍数过高被认为是美国次贷危机发生的重要原因,依靠资本充足率监管难以有效控制银行的杠杆化水平。2008年欧洲一些大型银行的资本充足率在10%以上,杠杆率却只有2.8%左右,大型银行核心资本充足率和杠杆率出现了较大程度的背离,这说明资本充足率监管在一定程度上失效,也为监管者更严格地对待表外业务、衍生品,提供了理     

银行资本监管与商业银行风险——对中国13家商业银行的实证研究

通过构建模型对2000～2005年我国商业银行风险与资本充足率变化进行实证检验,结果表明,我国实施银行资本监管能够促使已达到最低监管要求的银行提高资本充足率和降低银行风险,但对于达不到监管要求的银行,实施银行资本监管并不能促使其提高资本充足率和降低风险水平.实施银行资本监管不是我国商业银行风险降低的原因,资本监管在市场化程度较高的银行中会失效.市场及投资者并不因为银行资本充足率变化而对上市银行的收益或价值的评价产生变化.改革我国商业银行产权制度、建立显性的存款保险制度、加强市场约束是我国商业银行降低风险、提高资本监管有效性的基础.     

银行资本监管与商业银行风险——对中国13家商业银行的实证研究

通过构建模型对2000～2005年我国商业银行风险与资本充足率变化进行实证检验，结果表明，我国实施银行资本监管能够促使已达到最低监管要求的银行提高资本充足率和降低银行风险，但对于达不到监管要求的银行，实施银行资本监管并不能促使其提高资本充足率和降低风险水平。实施银行资本监管不是我国商业银行风险降低的原因，资本监管在市场化程度较高的银行中会失效。市场及投资者并不因为银行资本充足率变化而对上市银行的收益或价值的评价产生变化。改革我国商业银行产权制度、建立显性的存款保险制度、加强市场约束是我国商业银行降低风险、提高资本监管有效性的基础。     

建立适合中国国情的存款保险制度

审慎监管与存款保险都是金融安全网的有机组成部分,在维护金融稳定方面都发挥着重要作用。然而,如果将它们分开, 无论是审慎监管还是存款保险都不能独自应付银行倒闭事件,并且,对于市场经济国家来讲存款保险所引发的道德风险更是很难避免。因此,巴塞尔新资本协议在通过对银行内部风险资本进行详细要求,强化银行自身对风险覆盖和控制的同时,又通过     

中央银行监管政策与商业银行经营效率

随着金融市场的深化和开放,银行业者与学者都很关心监管政策与商业银行运营效率之间的关系.由于中国金融市场的特殊性,本文期望通过对全球数据进行定量分析而对中国金融市场的监管问题做出一个定性的解释.具体而言,本文通过对世界银行的数据进行随机前沿分析和Tobit回归分析,得出一系列银行监管政策,包括资本充足率,商业银行行为约束,监管体制和存款保险,与商业银行运营表现的关系.我们的结论证明银行监管政策与商业银行的运营效率有直接的联系.     

基于资本充足率要求的我国商业银行风险控制有效性研究

资本充足率作为《巴塞尔协议》的重要组成部分,一直以来就是各国商业银行监管工作的重点,2008年全球金融危机的爆发更是将更多的目光吸引至此。应用面板数据模型测度我国资本充足率要求对商业银行风险控制有效性的实证研究结果表明,我国商业银行资本充足率的限制具有降低银行外部风险、增强商业银行内部稳定性的功能。应建立一种显性的存款保险制度来规范我国商业银行的救助机制,与资本充足率监管一起形成维护我国商业银行稳定的"安全网"。     

Accounting and capital market measures of risk: Evidence from Asian banks during 1998–2003

This study examines the relation between accounting and capital market risk measures for a sample of 46 listed Asian banks during the period 1998–2003. By applying a panel data analysis that includes a control for country-specific factors, the results show that the standard deviation of the return-on-assets and loan-loss-reserves-to-gross-loans are significantly related to total risk. Also gross-loans-to-total-assets and loan-loss-reserves-to-gross-loans are significantly related to non-systematic risk. These results indicate that in these Asian countries, firm-specific risk is more important than systematic risk and the results are robust even though significant differences exist across Asian countries in banking activities, capital adequacy requirements, and deposit insurance protection.     

Optimal capacity in the banking sector and economic growth

The paper investigates, from the welfare and growth point of view, the determination of the optimal capacity of the banking system. For that purpose, we consider an overlapping generation model with endogenous growth. There is horizontal differentiation and imperfect competition in the banking sector. Macro-economic shocks affect the return on capital and, together with the expectations of depositors, condition the stability of the banking sector. We specify to what extent deposit insurance may reduce instability and increase the number of deposits, welfare and growth. We also characterise the conditions under which excess banking capacities may appear and how their reduction may improve welfare.     

Deposit Insurance, Capital Adequacy Requirements and Interest Rate Dynamics

This paper examines the long run interaction among deposit insurance, bank deposit rates and capital adequacy requirements. Using analysis similar to the price discrimination model of Lott and Roberts (1991) we find that a competitive environment among banks would link the spread between insured and uninsured deposit rates to the size of the insurance premium. We also find that banks that choose to operate at the regulatory minimum capital level, would increase asset risk with increased capital requirements if (1) the implicit interest paid to insured and uninsured depositors is equally sensitive to changes in risk and capital adequacy and (2) the insurance premium is independent of the level of risk and capital adequacy. Under the present risk-based premium structure, asset risk has the potential to decline when the regulatory agency raises capital requirements. Finally, we examine the time series behavior of insured and uninsured interest rates to see if it is consistent with our theoretical model. We find that insured and uninsured rates, along with deposit insurance premiums, are cointegrated series as suggested by our model.     

Capital Structure, Agency Problems, and Deposit Insurance in Banking Firms

This paper applies and synthesizes various theories of corporate finance, including capital structure, agency insurance, and regulation, to the case of banking firms and the deposite insurance system. It is argued that a value-maximizing bank would reach its optimal capital structure by minimizing the agency costs of incentive conflicts among stockholders, managers, uninsured depositors, and the deposit insurance agency. Although a regulatory imposed capital requirment may reduce the agency costs inherent in the insurance contact, it cannot produce a universal capital structure that is optimal for all insured banks. The observed capital structure patterns also suggest that banks actively seek an optimal capital structure.     

Banking regulation and the output cost of banking crises

Using a cross-section time-series of 47 banking crisis episodes in 35 industrial and emerging market economies between the 1970s and 2003, this study analyses the relationship between banking regulation and supervision, and the severity of banking crises measured in terms of the magnitude of output loss. The empirical results show that countries that provide comprehensive deposit insurance coverage and enforce strict bank capital adequacy requirements experience a smaller output cost of crises. Restrictions on bank activities also influence the severity of crises. The results, however, do not suggest that there is a significant impact of bank supervision. In addition, there is no robust evidence that the magnitude of the output cost of crises depends on the extent of banks’ financial intermediation.     

The shifting value of federal deposit insurance: Implications for reform

This research examines the relationship between the value of federal deposit insurance and bank size. We conclude that the value of deposit insurance has often been greater for the largest bank-holding companies since 1981. This differential is consistent with the notion that largest banks have greater ability to circumvent regulatory and/or market discipline. The source of this differential appears to be due to holding less capital rather than greater asset risk. Insurance costs net of the value of deposit insurance are also relatively lower for the largest banks and have become more so since 1981. These results suggest that recent proposals to improve the deposit insurance system should be evaluated based on their ability to effect even-handed discipline throughout the banking industry to eliminate and forestall further creation of this large institution bias.     

Capital regulation,deposit insurance and bank risk: International evidence from normal and crisis periods

In this paper, we examine the impact of capital regulation on bank risk and the moderating role of deposit insurance on the relationship between capital regulation and bank risk during both normal and crisis periods. Using an international sample of banks from 111 countries, our results show that stringent capital regulation reduces bank default risk, in general, during normal growth period, and this effect is not conditioned by the existence of explicit deposit insurance. Further, stringent capital regulation in place during the pre-crisis period reduces bank default risk during the crisis period, and this effect is stronger for countries with explicit deposit insurance during the pre-crisis period. These results have important policy implications to design the optimal bank regulations.     

Leaving the darkness: The emergence of shadow banks

This paper studies the interaction between bank capital regulation, moral hazard and co-existence of traditional and shadow banks. Bank managers can choose between traditional banking and off-balance sheet special purpose vehicles (SPV), in a setup with deposit insurance and moral hazard. We first show that in the absence of SPV intermediation, capital requirements are ineffective at preventing the moral hazard problem originated by deposit insurance. We find that shadow banks can improve financial stability, when there is full information sharing. Finally, we analyze the case of neglected tail risk. We find that under such circumstances, the SPV will increase financial risk by exposing the system to extreme events.