抗循環資本緩衝與銀行信用風險

在新實施的巴賽爾協定三中，以總體審慎監理為考量，提出抗循環資本緩衝(Countercyclical Buffer) 以降低金融體系與信用市場順景氣循環、加劇景氣波動的特性。本文以結構型模型的觀點，探討抗循環資本緩衝除減緩順景氣循環外，是否有降低銀行信用風險的額外效果。本研究發展出新的代理變數，衡量銀行在法規實施前，自主提存抗循環資本緩衝的程度。實證結果顯示，愈具有自主提存抗循環資本緩衝傾向的銀行，在不同信用風險的衡量指標下，都顯示有較低的信用風險，此結果對抗循環資本緩衝的效果，提供總體審慎以外的觀點。此外，實證結果亦顯示，愈具有自主提存抗循環資本緩衝傾向的銀行，獲利能力愈強。

關鍵字

抗循環資本緩衝；信用風險；風險性資本；景氣循環；巴賽爾協定

並列摘要

Countercyclical buffer is proposed as a macro-prudential mechanism to alleviate the pro-cyclicality of credit supply. This paper aims to investigate the additional benefits from the countercyclical buffer. From the perspective of structural-from credit model, this paper investigates the effects of countercyclical buffer on bank credit risk. We employ a newly developed proxy to capture the countercyclical buffer before its implementation. Four different credit risk proxies suggested by previous studies are included in this paper. The empirical results show that countercyclical buffer has significant effects on reducing bank credit risk. Additionally, we find the positive effects of countercyclical buffer on bank profitability.

並列關鍵字

Countercyclical buffer ； Credit risk ； Risk-based capital ； Business Cycle ； Basel III

參考文獻

Barth, M., Ormazabal, G., Taylor, D., 2012, “Asset securitizations and credit risk”, Accounting Review 87, 423-448

Basel Committee on Banking Supervision, 2010, “Countercyclical capital buffer proposal”, Bank for International Settlements

Berger, A., Herring, R., Szego, G., 1995, “The role of capital in financial Institutions”, Journal of Banking and Finance 19, 393–430

Black, F. and Scholes, M., 1973, “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy 81, 637-654

Borio, C., Furfine, C., Lowe, P., 2001. “Procyclicality of the Financial System and the Financial Stability: Issues and Policy Options”, Bank for International Settlements, Working Paper No.1, 1–57

國際替代計量

抗循環資本緩衝與銀行信用風險

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