The Capital Conundrum
The Capital Conundrum
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资本难题
DOI：
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发表时间：
2011
影响因子：
1.3
通讯作者：
R. Herring
中科院分区：
文献类型：
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作者：
R. Herring
在回顾了银行资本监管理论之后，本文指出，安全网的普遍影响既为监管银行股权资本提供了理论基础，也为推断没有安全网（或事后救助预期）的银行的最优资本资产比率提供了障碍。本文支持银行股权资本成本低于通常假设的观点，但指出，许多摩擦，导致其他公司的最佳股权资产比率可能适用于银行。此外，银行负债的很大一部分--存款--是银行提供的重要产品，也是提高杠杆率的手段，这一事实使银行资本结构的分析更加复杂。在简要概述了要求或有可转换资本（CoCo）工具的潜在优势之后，除了更高的股权资产比率，本文认为，鉴于最佳股权资本要求的不确定性，大量的CoCo要求提供了额外的优势，其中包括更强的激励银行在遇到严重困难之前进行资本重组，加强激励银行采取尽可能好的风险管理措施，并（只要利息和股息之间令人遗憾的不对称仍然存在）减少激励银行将活动转移到影子银行系统。一个实质性的CoCo要求可以像等量的额外股本一样有效地保护社会免受损失，但CoCo使银行能够在福尔斯达不到股本要求的情况下自动进行资本重组。这种资本重组将立即发生，成本低于压力条件下发行新股的成本。即时资本重组将使银行有机会重组或找到私人解决方案，并将为监管当局提供足够的警告，以便在必要时准备快速解决方案。
After a review of the theory of regulation of bank capital, this paper notes that the pervasive influence of the safety net provides both a rationale for regulating bank equity capital and an obstacle to inferring what the optimal capital-to-asset ratio would be for a bank in the absence of the safety net (or expectations of an ex post bailout). This paper supports the view that the cost of bank equity capital is less than is frequently assumed, but notes that many of the frictions that lead to optimal equity-to-asset ratios for other firms are likely to apply to banks. Moreover, the analysis of bank capital structures is further complicated by the fact that a significant proportion of bank liabilities—deposits—are an important product offered by banks as well as a means of increasing leverage. After a brief overview of the potential advantages of a requirement for contingent convertible capital (CoCo) instruments in addition to higher equity-to-asset ratios, the paper argues that, given the uncertainty about the optimum equity capital requirement, a substantial CoCo requirement provides additional advantages, which include stronger incentives for banks to recapitalize before they encounter serious difficulties, enhanced incentives for banks to adopt the best possible risk-management measures, and (so long as the regrettable asymmetry between interest and dividends remains) reduced incentives for banks to move activities to the shadow banking system. A substantial CoCo requirement protects society from loss as effectively as an equivalent amount of additional equity capital, but CoCos enable a bank to recapitalize automatically if it falls short of the equity capital requirement. This recapitalization will occur instantaneously and at lower cost than a new issue of equity under conditions of stress. Instantaneous recapitalization will give the bank an opportunity to restructure or find a private solution and will provide the regulatory authorities with sufficient warning to prepare a rapid resolution if necessary.