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银行资本要求须平衡诸多因素,不仅要考虑对资本成本造成影响的各因素,而且要考虑对借贷利率造成影响的各因素。标准理论预言,在完善、有效的资本市场中,降低银行杠杆率将减少其股权的风险和成本,但是整体的加权平均资本成本不变。本文据此展开实证。我们证实优化银行股权既可以降低银行系统性风险(β),同时也会导致银行特殊风险降低。然而过去40年美国的历史数据表明,经过风险调整,银行风险越低,股票回报率越高。甚至依据历史数据进行简单校准,风险加权资产的一级资本风险每增加10个百分点将会导致资本的加权平均成本每年增加60~90个基点。因为银行资产β意味着其平均风险收益只比同期国债收益高40个基点,所以在竞争激烈的借贷市场上,这个幅度的变化将以2或3倍扩展。
Bank capital requirements need to balance many factors, not only with the factors that affect the cost of capital, but also with the factors that affect the borrowing rate. Standard theory predicts that in a sound and effective capital market, reducing bank leverage will reduce the risk and cost of its equity, but the overall weighted average cost of capital remains unchanged. This article based on this empirical. We confirm that optimizing bank equity can reduce the systemic risk of the bank (β) and also reduce the bank’s special risk. However, historical data from the United States over the past 40 years show that after risk adjustment, the bank risk is lower and the return on stocks is higher. Even simple calibrations based on historical data, each 10-point increase in Tier 1 risk for risk-weighted assets will result in a 60 to 90 basis point increase in the weighted average cost of capital annually. Since bank asset beta means that its average risk return is only 40 basis points above the yield on Treasury notes over the same period, the change in the margin will be expanded by two or three times in a highly competitive lending market.