Are Bank Capital Buffers Cyclical? Evidence of Developed and Developing Countries

銀行資本緩衝是否有景氣循環現象？已開發國家和開發中國家之實證研究

陳怡凱(Yi-Kai Chen) ； 何月芳(Amy Yueh-Fang Ho) ； 許景嵐(Ching-Lan Hsu)

《財務金融學刊》 22卷3期 (2014/09) Pp. 27-56

https://doi.org/10.6545/JFS.2014.22(3).2

摘要

本文探討資本緩衝和景氣循環間的關係。1995至2009年全球銀行樣本顯示資本和普通股權益緩衝具順景氣循環現象，大型銀行和銀行控股公司在已開發國家和以市場為基礎的金融體系具順景氣循環的資本緩衝和抗景氣循環的普通股權益緩衝，傾向增加第二類資本以提高資本適足率。結果支持金融危機後巴塞爾協議III的抗景氣循環資本緩衝措施。

關鍵字

景氣循環 ； 抗景氣循環 ； 順景氣循環 ； 資本緩衝 ； 普通股權緩衝

並列摘要

This study examines the relationship between capital buffers and business cycle fluctuations. The results show procyclicality in both capital and common equity buffers in banks of 171 countries from 1995 to 2009. Large banks and bank holding companies in developed countries and market-based financial systems have procyclical capital buffers and countercyclical common equity buffers. These banks tend to raise Tier 2 capital to improve their capital ratio. The results of the empirical evidence are consistent with the procyclicality phenomenon that occurred in the 2008 financial crisis, and supports the Basel III requirements for countercyclical capital buffer.

並列關鍵字

Business cycle ； countercyclical ； procyclical ； capital buffer ； common equity buffer

參考文獻

Bikker, Jaap, and Paul Metzemakers, 2005, Is bank capital pro-cyclical? A crosscountry analysis, Working paper

Borio, Claudio, Craig Furfine, and Philip Lowe, 2001, Procyclicality of the financial system and the financial stability: Issues and policy options, Working paper

Demirguc-Kunt, Asli, and Ross Levine, 1999, Bank-based and market-based financial systems: Cross-country comparisons, Working paper

Jackson, Patricia, 1999, Capital requirements and bank behaviour: The impact of the Basel accord, Working paper

Milne, Alistair, and Elizabeth Whalley, 2001, Bank capital regulation and incentives for risk-taking, Working paper