ABSTRACT

Using GMM framework on the data of the US commercial banks spanning over 2002 to 2018, this study shows that banks adjust their regulatory capital ratios faster than traditional capital ratios. Our results show that the speed of adjustment of regulatory capital ratios and traditional capital ratios increases in bank capital adequacy and bank liquidity, respectively. We also find that the speed of adjustment of regulatory capital ratios of too-big-to-fail banks is lower than well-capitalized, adequately-capitalized, nationally-chartered, and state-chartered banks. In addition, the speed of adjustment of regulatory capital ratios of commercial banks is higher in the post-crisis period than the pre-crisis era. Although scholars suggest that adjustment of capital ratios through rebalancing liabilities is more beneficial to the banks, our findings show that banks also use their assets side of balance sheet to rebalance their capital ratios.

摘要

使用GMM框架对2002年至2018年美国商业银行的数据进行分析，该研究表明，银行调整监管资本比率的速度比传统资本比率快。我们的结果表明，监管资本比率和传统资本比率的调整速度分别提高了银行资本充足率和银行流动性。我们还发现，倒闭太大的银行对监管资本比率的调整速度低于资本充足，资本充足，由国家特许和国有的银行。此外，在危机后时期，商业银行监管资本比率的调整速度要快于危机前时期。尽管学者认为，通过重新平衡负债来调整资本比率对银行更有利，