Bank Equity Issues: Determinants, Costs, Systemic and Macroeconomic Effects

银行股权问题：决定因素、成本、系统性和宏观经济影响

• 批准号: 267742650
• 负责人: Professorin Dr. Valeriya Dinger
• 金额: --
• 依托单位: Leeds University Business School
• 依托单位国家: 德国
• 项目类别: Priority Programmes
• 财政年份: 2015
• 资助国家: 德国
• 起止时间: 2014-12-31 至 2018-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/267742650?language=en
• 关键词: Bank; Equity; Issues; Determinants; Costs

The role of bank undercapitalization as an important determinant of the propagation of macroeconomic shocks through the financial system has been repeatedly illustrated by the most recent as well as earlier financial crises. Recognizing the risks of bank undercapitalization, policy makers have recently proposed a number of measures targeting higher levels of bank capital. An evaluation of the possible macroeconomic effects of the new capital rules is badly needed but still challenging since many aspects of bank capital decisions have not been thoroughly studied, yet. In particular, most existing research with regard to the effects of capital regulation has focused on studying banks decisions to adjust lending, leaving the decisions of banks to actively change the volume of equity widely unexplored. In this project we plan to close this gap and empirically examine the decision of a bank to issue new equity. More specifically, we intend to answer the following questions: (i) Which are the determinants of the decision of a bank to issue new equity? Do severe undercapitalization and systemic distress create effective incentives or disincentives with regard to the issuing decision? (ii) Does the information revealed by the equity issue of an individual bank have an effect on the behavior of the banks peers? Is this effect stabilizing or rather destabilizing the financial system as a whole? (iii) What is the interaction between a banks decision to issue equity and its asset dynamics? What does a structural estimation with regard to this interaction imply for the magnitude of the costs of issuing equity or liquidating bank assets? How do these costs affect the macroeconomic outcomes of stricter capital regulation? Could a regulatory framework be designed so that issuing costs are reduced and banks incentives to recapitalize are increased? The answers to these questions will contribute to a better understanding of the mechanism of the relation between bank capitalization and macroeconomic performance. They will also provide valuable information that can be used by researchers and policy makers when designing a regulatory framework that gives banks sufficient incentives to recapitalize thus reducing the risk of adverse macroeconomic outcomes.

最近和以前的金融危机一再表明，银行资本不足是宏观经济冲击通过金融系统传播的一个重要决定因素。认识到银行资本不足的风险，政策制定者最近提出了一系列旨在提高银行资本水平的措施。对新资本规则可能产生的宏观经济影响进行评估是迫切需要的，但仍然具有挑战性，因为银行资本决策的许多方面尚未得到彻底研究。特别是，大多数关于资本监管影响的现有研究都集中在研究银行调整贷款的决定上，而银行主动改变股本数量的决定却没有得到广泛的探讨。在这个项目中，我们计划缩小这一差距，并实证检验银行发行新股的决定。更具体地说，我们打算回答以下问题：（i）银行发行新股的决定因素是什么？严重的资本不足和系统性困境是否会对发行决策产生有效的激励或抑制？(ii)单个银行发行股票所揭示的信息是否会对银行同业的行为产生影响？这种影响是稳定还是破坏了整个金融体系？(iii)银行发行股票的决定与其资产动态之间的相互作用是什么？关于这种相互作用的结构性估计对发行股票或清算银行资产的成本大小意味着什么？这些成本如何影响更严格的资本监管的宏观经济结果？能否设计一个监管框架，以降低发行成本，增加银行调整资本结构的动力？这些问题的回答将有助于更好地理解银行资本与宏观经济绩效之间的关系机制。它们还将提供有价值的信息，供研究人员和决策者在设计监管框架时使用，以便为银行调整资本结构提供足够的激励，从而减少不利宏观经济结果的风险。