Bank Capital Requirements and Balance Sheet Management Practices: Has the Relationship Changed after the Crisis?
Bank Capital Requirements and Balance Sheet Management Practices: Has the Relationship Changed after the Crisis?
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银行资本要求和资产负债表管理实践：危机后这种关系是否发生了变化？
DOI：
10.2139/ssrn.2885244
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发表时间：
2016
期刊：
影响因子：
--
通讯作者：
Qun Harris
中科院分区：
文献类型：
--
作者：
Sebastián de;W. Francis;Qun Harris
我们使用1989年至2013年英国个人资本要求的专有数据库和面板回归技术来评估2008-09年金融危机后资本要求对银行资产负债表调整的影响是否发生了变化。我们发现，危机后，银行更加重视整体资产去杠杆化。资本要求每提高1个百分点，总资产增长率在危机前就下降14个基点，在危机后下降20个基点。我们还发现了银行资本管理实践发生结构性变化的证据，与危机前相比，银行在危机后大幅增加了更高质量的一级资本，以应对更高的要求。然而，在危机前后，资本要求对贷款和风险加权资产增长的影响是相似的。我们的研究结果表明，无论是在危机之前还是之后，资本要求提高1个百分点都会使年度贷款（风险加权资产）增长率降低8（12）个基点。
We use a proprietary database of individual UK capital requirements spanning 1989 to 2013 and panel regression techniques to evaluate whether the effects of capital requirements on banks’ balance sheet adjustments changed after the 2008–09 financial crisis. We find that after the crisis banks placed more emphasis on overall asset de-leveraging. A 1 percentage point increase in capital requirements lowered total asset growth by 14 basis points before the crisis and 20 basis points after the crisis. We also find evidence of a structural change in banks’ capital management practices, with banks increasing better-quality, Tier 1 capital significantly more in response to higher requirements after the crisis than they did before the crisis. However, the effects of capital requirements on lending and risk-weighted asset growth both before and after the crisis are similar. Our results suggest that both before and after the crisis, a 1 percentage point increase in capital requirements lowered annual loan (risk-weighted asset) growth by 8 (12) basis points.