Do Capital Requirements Make Banks Safer? Evidence From a Quasinatural Experiment
利用2011年欧洲银行管理局资本压力测试作为准自然实验，发现资本要求虽改善监管偿付指标，但非监管指标显示银行偿付能力恶化，源于市场权益价值永久下降。
Abstract We use the EBA capital exercise of 2011 as a quasinatural experiment to investigate how capital requirements affect various measures of bank solvency risk. We show that, while regulatory measures of solvency improve, nonregulatory measures indicate a deterioration in bank solvency in response to higher capital requirements. The decline in bank solvency is driven by a permanent reduction in banks’ market value of equity. This finding is consistent with a reduction in bank profitability, rather than a repricing of bank equity due to a reduction of implicit and explicit too-big-too-fail guarantees. We then discuss alternative policies to improve bank solvency.