Supervisory Mechanisms, Market Discipline Power, Bank Capital, and Risk-Taking Adjustments

監理機制、市場紀律力、銀行資本與風險承擔之調整

林淑玲(Shu-Ling Lin)

《台灣金融財務季刊》 13卷2期 (2012/06) Pp. 1-47

https://doi.org/10.6985/TBFQ.201206.0001

摘要

最近歐洲債券市場危機已嚴重暴露金融體系風險承擔之弱點，顯示金融監理當局應改進監理效能與風險承擔的紀律因素。本文提出修正模式以驗證資本管制是否透過監理機制或市場紀律力，影響銀行資本與風險之調整。本文針對2008年至2010年期間的21個Basel會員國（共981家商業銀行），與16個非Basel會員國（共371家商業銀行）研究，以進一步驗證在2007年次貸危機所引發的全球金融海嘯之後，資本緩衝理論之有效性。經Panel EGLS methodology實證結果顯示：資本調整與風險承擔調整呈顯著負向關連，且呈雙向之互動影響關係。此外，高資本緩衝銀行調整資本與風險承擔的速度均較低資本緩衝銀行為快；然而，低資本緩衝銀行之資本調整與風險承擔調整呈顯著的負向關連。上述結果意味著資本管制規範為一有效工具，可促使銀行提昇其資本適足率並降低風險承擔，其中監理機制與市場紀律力在資本管制中扮演互補的角色，另外，研究結果並證實加強治理效能將誘使銀行減緩其風險承擔之調整。本文實證結果符合研究假說預期，即監理機制的確會影響資本與風險的調整。換言之，較嚴格的監理機制將促使銀行傾向較少的資本調整，但卻激勵銀行承擔更高風險。上述實證結果在後金融海嘯時期實施新巴塞爾資本協定過程中，對於銀行業監理與管制政策因應提供重要涵義。

關鍵字

監理機制 ； 風險承擔 ； 資本管制 ； 市場紀律力

並列摘要

The recent crisis of European bond market has exposed a weakness in risk taking in the financial system, and suggests that financial authorities need to improve the effectiveness of supervisory and disciplining factors of risk taking. This paper proposes a modified model to investigate whether capital regulations affect bank capital and risk-taking adjustments, and whether these effects channel through supervisory mechanisms or market discipline power. This study employs data from 981 commercial banks in 21 Basel member countries and 371 commercial banks in 16 non-Basel member countries over the period from 2008 to 2010 to verify capital buffer theory following the global financial tsunami triggered by the 2007 subprime mortgage crisis.The results show that the effects of capital adjustments on risk and vice versa are both negative and highly significant, thus indicating that the coordination of capital and risk adjustments is an opposite two-way relationship. In addition, banks with high capital positions generally adjust their capital and risk-taking faster than banks with low capital ratios. However, banks with low capital buffer positions adjust their capital ratio and risk taking in opposite directions from these countries. The results indicate that capital requirements are effective tools for increasing capital and reducing risk-taking by banks, confirm the complementary role of supervisory mechanisms and market discipline power on capital regulation, and verify that banks strengthened by governance effectiveness tend to mitigate risk-taking adjustments. The results are consistent with our expectations for supervisory mechanisms, and appear to affect capital and risk adjustments. That is, the results exhibit that greater strength of supervisory mechanisms result in banks having less capital adjustments, but motivating them to take higher risks. These results provide important implications for banking supervision and regulation in developing policy responses following a crisis period after the implementation of new Basel Capital Accord.

並列關鍵字

Supervisory Mechanisms ； Risk Taking ； Capital Regulation ； Market Discipline Power

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