资本要求、“多而不倒”救助与系统性风险

本文从银行之间资产回报相关性的角度研究系统性风险,通过构建理论模型考察了存在“多而不倒”救助时资本要求对系统性风险的影响,并且以11个国家（地区）2006-2012年的相关数据为样本进行实证检验。研究结果表明,一定条件下“多而不倒”救助是监管者的最优选择,然而当存在这种“事后”最优政策时,资本要求的提高可能会通过影响银行“事前”投资决策的方式扩大银行之间的系统相关性,提高系统性风险隐患。这一效应在金融自由化程度较低的国家表现得更为显著。中国的资本监管改革应注意与金融市场化改革相协调。

CAPITAL REQUIREMENT,“TOO MANY TO FAIL”BAILOUT AND SYSTEMIC RISK

Systemic risk is defined as the correlation of returns on assets held by banks in this paper. Based on a theoretical model, this paper analyzes the relationship between capital requirement and banking systemic risk in the presence of “too many to fail” bailout. Then this paper makes an empirical test using an unbalanced panel data from 2006 to 2012 of 11 different countries and regions listed commercial banks. The results show that, under certain circumstance,“too many to fail”bailout is the regulators optimal choice. However, in the presence of this ex post optimal policy, an increased capital requirement may induce more systemic risk by affecting banks ex ante investment decisions. This effect is more significant in counties with low level of financial freedom. Chinas capital regulation reform should coordinate closely with financial marketization reform.