How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?
研究了美国上市银行在1990-2012年间，股票市场如何评估监管资本宽容的价值，发现逆周期的资本宽容平均占银行股权市场估值的17%，衰退期可达100%。
Abstract During the subprime crisis, the Federal Deposit Insurance Corporation (FDIC) has shown, once again, laxity in resolving and closing insolvent institutions. Ronn and Verma (1986) call the tolerance level below which a bank closure is triggered the regulatory policy parameter. We derive a model in which we make this parameter stochastic and bank specific to infer the stock market view of the regulatory capital forbearance value. For 565 U.S. listed banks during 1990 to 2012, the countercyclical forbearance fraction in capital, most substantial in recessions, could represent 17%, on average, of the market valuation of bank equity and could go as high as 100%.