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

银行资本不足是宏观经济冲击在整个金融系统中传播的一个重要决定因素，最近和以前的金融危机一再证明了这一点。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针对更高水平银行资本的措施。对新资本金规定可能产生的宏观经济影响进行评估是非常必要的，但仍具有挑战性，因为银行资本金决策的许多方面尚未得到彻底研究。特别是，关于资本监管影响的现有研究大多集中于研究银行调整放贷的决定，而对银行积极改变股本规模的决定普遍未予探索。在这个项目中，我们计划缩小这一差距，并对银行发行新股的决定进行实证研究。更具体地说，我们打算回答以下问题：(I)银行决定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定产生有效的激励或抑制作用？(Ii)个别银行的股权发行所披露的信息是否会对银行同业的行为产生影响？这种影响是在稳定还是在破坏整个金融体系的稳定？(Iii)银行发行股票的决定与其资产动态之间的互动是什么？关于这种相互作用的结构性估计，对于发行股本或清算银行资产的成本的规模意味着什么？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，并增加银行进行资本重组的动机？对这些问题的回答将有助于更好地理解银行资本化与宏观经济表现之间的关系机制。它们还将提供有价值的信息，供研究人员和政策制定者在设计监管框架时使用，以激励银行进行资本重组，从而降低宏观经济不利结果的风险。

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.