监管成本、资本成本与最优资本充足率监管

Regulation Cost, Funding Cost and the Optimal Supervision of CAR

本文首先论述了《新巴塞尔资本协议》的演进,并主张《新巴塞尔资本协议》第一支柱的最低资本要求须由第二支柱的监督检查来确保其监管政策目标的实现。本文在考虑监管单位监管成本、商业银行资本成本的基础上,设计了一个在信息不对称条件下鼓励银行上报真实信息的激励机制,并以此建立了一个监管单位随机监管银行经营状况的理论分析模型,借以决定监管单位监管银行资本充足率的最优行为。本文指出,银行资本充足率应与银行贷放投资失败概率、监管单位监管成本、银行资本成本呈正向关系,并与对谎报财务信息的银行所施予的罚款金额及惩罚性资本充足率呈反向关系。同时,本文以对美国金融机构危机史与金融危机后监管改革历程的分析为基础,对金融监管的必要性及监管单位所面临的监管成本难题进行了实证检验。

This paper first briefly discusses the evolution of the New Basel Accord and suggests that the second pillar, supervision review, should be used to assure the first pillar, minimum capital requirements （CAR） to achieve the objectives of regulatory policy. Taking into account the regulation cost and the funding cost, we design an incentive-based scheme to encourage banks to report true information under the condition of information asymmetry, and then develop a theoretical model of stochastic supervision on banks＇ business performance to determine the optimal behavior to monitor capital adequacy ratio. We find that the CAR should be positively related to the failure probability of banks, the regulation cost and the funding cost, while negatively related to the penalty amount and the punitive capital ratio imposed on the lying banks. In addition, by examining the financial crisis history in the United States and the reform of financial regulations in the post-crisis era, we discuss the necessity of financial regulations and the problem related to the regulation cost faced by regulators.