[下载]Bank Capital and Risk-Taking The Impact of Capital Regulation, Charter Value

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2009-3-21 20:21:00 上传

[下载]Bank Capital and Risk-Taking The Impact of Capital Regulation, Charter Value, and t
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1 Introduction 1
2 Theoretical Literature 7
2.1 Moral Hazard in Banking 7
2.2 Capital Regulation in Models of Moral Hazard 10
2.3 The Disciplining Effect of Charter Value 13
2.4 A Model with Charter Value and Endogenous Capital 16
2.5 Further Considerations 21
2.6 Hypotheses on ... 25
2.6.1 Capital and Risk Adjustments after an Increase in Capital
Requirements 25
2.6.2 Capital and Risk Adjustments over the Business Cycle 27
2.6.3 The Disciplining Effect of Charter Value on Risk-Taking 28
3 Capital and Risk Adjustments after an Increase in Capital
Requirements 30
3.1 Introduction 30
3.2 The Empirical Model 32
3.2.1 A Simultaneous Equations Model with Partial Adjustment
33
3.2.2 Hypotheses 34
3.2.3 Methodology 35
3.2.4 Measures of Capital and Risk 3 8
3.2.5 Variables Affecting the Optimum Levels of Capital and
Risk 40
3.3 Data Description 42
3.4 Regression Analysis 47
3.4.1 Dummy Variable Approach in a Pooled Regression 47
3.4.2 Subsample Approach 53
3.4.3 Rolling Window Approach 56
X Contents
3.4.4 Dummy Variable Approach in a Dynamic Panel
Regression 59
3.5 Conclusion 63
3.6 Appendix 1: Descriptive Statistics 64
3.7 Appendix 2: Robustness Checks 68
Capital and Risk Adjustments over the Business Cycle 78
4.1 Introduction 78
4.2 The Empirical Model 80
4.2.1 A Partial Adjustment Model 80
4.2.2 Hypotheses 83
4.2.3 Methodology 84
4.2.4 Measures of the Capital Buffer, Regulatory Capital, Risk-
Weighted Assets, and Business Cycle Fluctuations 85
4.2.5 Bank-Specific Control Variables 86
4.3 Data Description 88
4.4 Regression Analysis 90
4.4.1 Adjustments in the Capital Buffer 92
4.4.2 Asymmetries 94
4.4.3 Adjustments in Regulatory Capital and Risk-Weighted
Assets 97
4.4.4 Robustness Checks 102
4.5 Conclusion 103
4.6 Appendix 1: Descriptive Statistics 104
4.7 Appendix 2: Robustness Checks 107
The Disciplining Effect of Charter Value on Risk-Taking 111
5.1 Introduction 111
5.2 The Empirical Model 113
5.2.1 A Two-Step Dynamic Model 114
5.2.2 Hypotheses 114
5.2.3 Methodology 115
5.2.4 Definitions of Charter Value and Risk-Taking 116
5.2.5 Bank-Specific and Macroeconomic Control Variables 118
5.3 Data Description 121
5.4 Regression Analysis 122
Contents XI
5.4.1 Charter Value 123
5.4.2 Risk-Taking 125
5.4.3 Robustness Checks 129
5.5 Conclusion 132
5.6 Appendix 1: Descriptive Statistics 134
5.7 Appendix 2: Robustness Checks 139
6 Final Remarks 140
References 144

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关键词：Regulation Capital Charter ulation capita Bank Capital cycle Regulation Impact