Abstract

The study aims to investigate the effect of conventional capital ratio, risk-based capital ratio, and capital buffer ratio on commercial bank risk-taking over the period from 2002 to 2019 using a two-step GMM method. The finding reveals that there is a positive relationship between traditional capital ratio and risk-taking for the full sample results, which is supported by the regulatory hypothesis. The results are same across various categories based on capitalization and liquidity. Whereas the relationship is negative when capital is measured through risk-based capital ratio and capital buffer, the results are in line with the moral hazard hypothesis. The outcomes are consistent for all subcategories other than for well-capitalized and low liquid banks. The full sample findings are consistent when risk is proxied through loan loss provision. The impact of capital ratios on risk-taking in the pre-, pro- and post-crisis eras is heterogeneous and ‎significant. The findings have significant insights for regulators to observe the differences among pre-, pro- and post-crisis periods for the well, adequately, under, significantly under-capitalized, high and low liquid insured commercial banks of the USA.

摘要

本研究旨在使用两步 GMM 方法研究 2002 年至 2019 年期间常规资本比率、基于风险的资本比率和资本缓冲比率对商业银行风险承担的影响。研究结果表明，对于完整样本结果，传统资本比率与风险承担之间存在正相关关系，这得到监管假设的支持。基于资本化和流动性的不同类别的结果是相同的。而当以风险资本比率和资本缓冲衡量资本时，两者的关系为负，结果符合道德风险假设。除了资本充足和流动性低的银行之外，所有子类别的结果都是一致的。当风险通过贷款损失准备金来代表时，完整的样本结果是一致的。在危机前、危机前和后危机时代，资本比率对风险承担的影响是异质且显着的。这些发现对于监管机构观察危机前、危机前和危机后时期之间的差异具有重要意义，即美国的油井、资本充足、资本不足、资本严重不足、流动性高和低的有保险商业银行。