Strategic Bank Liability Structure Under Capital Requirements
研究了银行如何根据资本充足率和有形权益的最低要求，战略性选择并动态调整存款与非存款债务的结构，发现这种策略会削弱对存款的保护，且监管提高资本要求时银行会降低杠杆但增加非存款债务比例。
Banks strategically choose and dynamically restructure deposits and nondeposit debt in response to the minimum requirements on total capital and tangible equity. We derive the optimal strategic liability structure and show that it minimizes the protection for deposits conditional on capital requirements. Although, given any liability structure, regulators can set capital requirements high enough to remove the incentive for risk substitution, the strategic response to the capital requirements always preserves this incentive. Banks reduce leverage but increase the proportion of nondeposit debt if regulations raise the capital requirements. This paper was accepted by Lukas Schmid, finance. Supplemental Material: The online appendix and data are available at https://doi.org/10.1287/mnsc.2022.4570 .