The effect of stricter capital regulation on banks’ risk‐taking: Theory and evidence
通过一个简单的投资组合选择模型，发现银行在面临更严格的资本监管时，可能增加高风险资产的占比。美国银行在巴塞尔II实施后的数据支持了这一结论。
Abstract A simple portfolio choice model shows that, when a bank's capital is constrained by regulation, regulatory cost (risk weightings) alters the risk and value calculations for the bank's assets. In particular, we find that banks may respond to stricter regulation by increasing the share of high‐risk assets. Our empirical results show that US banks responded to the implementation of the stricter Basel II regulations by increasing the share of high‐risk assets in the risky part of their portfolios.