Banks’ Incentives and Inconsistent Risk Models
研究发现资本不足的银行会向监管者低报风险估计，以缓解资本要求压力，且其估计对贷款价格的解释力更弱，揭示了依赖银行自我报告的风险监管的隐患。
This paper investigates banks’ incentive to bias the risk estimates they report to regulators. Within loan syndicates, we find that banks with less capital report lower risk estimates. Consistent with an effort to mitigate capital requirements, the sensitivity to capital is robust to bank fixed effects and greater for large, risky, and opaque credits. Also, low-capital banks’ risk estimates have less explanatory power than those of high-capital banks with regard to loan prices, indicating that their estimates incorporate less information. Our results suggest banks underreport risk in response to capital constraints and highlight the perils of regulation premised on self-reporting. Received September 21, 2016; editorial decision September 18, 2017 by Editor Philip Strahan. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web Site next to the link to the final published paper online.