銀行業如何因應政府監管?流動性管制及公允價值變動計入資本之影響

How Do Banks React to Government Regulation? The Effects of Liquidity Regulation and the AOCI Filter Removal

陳漢鐘(Han-Chung Chen)

指導教授 ： 劉啟群

國立臺灣大學/管理學院/會計學研究所/博士(2018年)

https://doi.org/10.6342/NTU201804261

摘要

本文檢視兩個金融海嘯後的重要管制是否影響美國大型銀行之債券投資及其會計分類方式。首先，流動性覆蓋比率要求大型銀行持有足夠的高品質流動性資產以支應預期未來淨現金流出。我們以差異中之差異法分析發現，在流動性管制之後，大型銀行將債券投資組合配置更多的比例於符合高品質流動性資產定義之債券，因此債券投資組合的整體信用風險下降。此外，大型銀行債券投資的平均到期日也增加。另外，以進階法計算資本適足率的大銀行則更進一步被要求將分類為備供出售的債券，其公允價值變動計入核心資本。實證結果發現，這些大銀行因此將更高比例的債券分類為持有到期，以降低該管制對資本比率帶來的衝擊。再者，我們也發現進階法銀行將更高比例的高品質流動性債券分類為持有到期。

關鍵字

流動性管制 ； 公允價值 ； 巴塞爾資本協定 III ； 備供出售證券 ； 資本管制

並列摘要

This paper examines whether two crucial post-crisis regulations affect US banks’ debt securities investments and accounting classification. First, the new liquidity coverage ratio regulation requires large bank holding companies to hold adequate high-quality liquid assets (HQLA) relative to their expected net cash outflows. Using a difference-in-differences design, we find that banks affected by this requirement remarkably recompose their securities in favor of HQLA and thus improve the credit quality of securities holdings. Moreover, banks subject to the requirement favor longer maturity securities when trading off between motives to reduce volatility caused by fair value and search for yield incentives.Second, huge banks (advanced approach banks) are further required to include unrealized gains and losses of available-for-sale debt securities (accumulated other comprehensive income) in their regulatory capital. Empirical evidence shows advanced approach banks classify additional securities as held to maturity (HTM) in response to the regulation. In addition, we further show advanced banks classify additional HQLA as HTM when they increase HQLA holdings.

並列關鍵字

Liquidity regulation ； Fair value ； Basel III reforms ； Available-for-Sale Securities ； Capital regulation

參考文獻

References

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