What Determines How Banks Respond to Changes in Capital Requirements?
What Determines How Banks Respond to Changes in Capital Requirements?
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是什么决定了银行如何应对资本要求的变化？
DOI：
10.2139/ssrn.2766374
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发表时间：
2016
期刊：
影响因子：
--
通讯作者：
Cian O'Neill
中科院分区：
文献类型：
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作者：
Saleem Bahaj;Jonathan Bridges;F. Malherbe;Cian O'Neill
遗留资产积压和政府担保导致的风险转移动机都可能影响银行的资本发行和贷款决策。我们表明，这种摩擦导致人们对银行应该如何应对资本要求变化的模糊预测。一个持续的预测是，当贷款前景良好且遗留资产健康时，贷款对资本要求的变化不那么敏感。利用1989年至2007年的英国银行监管数据，我们发现这一预测得到了强有力的实证支持。
Legacy asset overhang and incentive to shift risk due to government guarantees can both affect bank capital issuance and lending decisions. We show that such frictions lead to ambiguous predictions on how one should expect a bank to react to a change in capital requirements. One sustained prediction is that lending is less sensitive to a change in capital requirements when lending prospects are good and legacy assets are healthy. Using UK bank regulatory data from 1989 to 2007, we find strong empirical support for this prediction.