商业银行监管资本套利的均衡分析

发布时间：2018-05-09 21:32

本文选题：监管资本套利 + 套利收益归宿　；参考：《财经理论与实践》2010年06期

【摘要】：监管资本套利,产生于巴塞尔协议资本监管框架的缺陷,是一种利用资本监管制度之间的差异性以及制度内部的不协调性,运用某种手段在不改变实际风险水平的情况下提高资本充足率水平的行为。通过对以下问题的探讨:商业银行监管资本套利所获得的收益在银行与资金需求方之间的配置比例;针对某种资产的监管资本套利,对其他资产供求双方所产生的隐性套利收益的表现形式及其归属程度;由商业银行异质性所导致的监管套利顾客现象;信息不对称情况下,市场对于套利者与非套利者的逆向选择等等,认为银行监管部门应适当引导符合政策意图的套利行为,提高政策引导调控能力。
[Abstract]:Regulatory capital arbitrage, arising from the defects of the Basel Accord capital regulatory framework, is a kind of utilization of the differences between the capital regulatory system and the disharmony within the system. The act of raising the level of capital adequacy without changing the actual level of risk. Through the discussion of the following problems: the allocation ratio of the profits from regulatory capital arbitrage in commercial banks between banks and the demand side of capital; the regulatory capital arbitrage for a certain asset; The forms of expression and the degree of attribution of the implicit arbitrage income generated by both supply and demand of other assets; the phenomenon of regulatory arbitrage customers caused by the heterogeneity of commercial banks; the phenomenon of regulatory arbitrage customers in the case of asymmetric information, Market for arbitrage and non-arbitrage adverse selection and so on, the bank regulatory authorities should properly guide the arbitrage behavior in line with the policy intent, and improve the regulatory ability of policy guidance.
【作者单位】：天津财经大学金融学院;
【基金】：国家自然科学基金项目(70873087) 教育部人文社会科学研究项目(07JA790047)
【分类号】：F832.1

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