風險性資產導向資本管制政策效果之研究

Abstract

本文旨在根據Rochet(1992)所提出「市場基礎」的風險權數之設計理念， 在均一異分析的架構下，分別採用一般化的預期效用極大化模型與價值極 大化模型探討風險性資產導向資本管制對銀行投資組合行為以及倒閉風險 所產生的政策效果。主要結論為：風險性資產導向資本管制方案所採風險 權數的設計方式倘能依「市場基礎」予以設計─即風險權數與銀行資產系 統風險(或超額報酬)成比例關係，則風險性資產導向的資本管制措施當可 達成控制銀行投資組合風險以及倒閉風險的政策目的，否則將難以完全杜 絕銀行追求高風險投資組合的機會，因而無法避免「道德危險」問題而導 致該管制政策的失效。實證方面，本文採23家本國銀行為樣本，實證期間 為民國七十四年至民國八十二年，以「投資組合重組假設」與「倒閉風險 假說」進行兩階段的檢定，從中觀察風險性資產導向的新資本管制方案宣 告實施前後期間本國銀行投資組合與倒閉風險的結構變化，以資評估該方 案對抑制本國銀行追求高風險投資組合行為以及降低銀行倒閉風險的政策 效果。主要實證結論為：新資本管制方案宣告後，未達管制標準銀行的風 險資產導向資本比率顯著上升，而已達管制標準銀行的風險資產導向資本 比率反而下降，顯示新資本管制已對未達管制標準銀行產生理論預期的影 響效果。更重要的發現是：本國銀行業者在因應風險性資產導向資本管制 的對策上，傾向於以提高自有資本比率及減緩業務規模成長速度的方式來 進行投資組合的調整，而並非往低風險資產組合進行調整。最後，在本文 所擇取三個銀行風險代理變數的測度下，顯示，新資本方案宣告後，銀行 倒閉風險有下降之態勢。 This dissertation, under the mean-variance framework, firstly utilizes the utility-maximization model and value-maximization model to examine the impact of the risk-based capital regulation on bank portfolio and its bankruptcy risk to evaluate the effectiveness of the new plan. We adopt the `market-based' approach suggested by Rochet (1992) to drive the optimal risk weights and demonstrate that the new plan is a mixed scheme of asset restriction and the capital adequacy requirement. In spite of the fact that the incentive for a bank to increase asset risk declines as the correlation between asset risks and risk weights increase, only if the risk weights are proportional to the systematic risks (or excess returns)in the sense that they are `market-based' can the new plan redress the bank's bias toward riskier assets and effectively reduce the bankruptcy risk to the desired level. Otherwise, it may cause a similar `moral hazard' problem, as does the uniform capital ratio regulation, and fail to achieve the solvency goal. Furthermore, the empirical investigation is carried out by using data on 23 domestic banks from 1985 to 1993. We design a two phase hypothesis-testing including: (1) Portfolio Reshuffling Hypothesis and (2) Bankruptcy Risk Hypothesis to examine how the banks respond to the new Act in Taiwan. The empirical results suggest the banks did respond to the new capital regulation by reshuffling their portfolios. As expected theoretically, the risk -based capital ratios of the binding banks significantly increased while those of the unbinding banks declined. More importantly, the banks tended to raise their capital levels or lessen their asset growth in response to the promulgation of the new Act rather than reshuffle their asset portfolios toward less risky assets, and which resulted in a decline in the sample bank's bankruptcy risk.