Leverage ratio, risk‐based capital requirements, and risk‐taking in the United Kingdom
本文从理论和实证两方面评估了杠杆率资本要求对银行风险承担行为的影响，发现引入杠杆率要求后英国银行并未增加资产风险，反而略微降低了杠杆水平，从而降低了总体风险。
Abstract We assess the impact of the leverage ratio capital requirements on the risk‐taking behaviour of banks both theoretically and empirically. Conceptually, introducing binding leverage ratio requirements into a regulatory framework with risk‐based capital requirements induces banks to re‐optimise, shifting from safer to riskier assets (higher asset risk). Yet, this shift would not be one‐for‐one due to risk weight differences, meaning the shift would be associated with a lower level of leverage (lower insolvency risk). The interaction of these two changes determines the impact on the aggregate level of risk. Empirically, we use a difference‐in‐differences setup to compare the behaviour of UK banks subject to the leverage ratio requirements (LR banks) to otherwise similar banks (non‐LR banks). Our results show that LR banks did not increase asset risk, and slightly reduced leverage levels, compared to the control group after the introduction of leverage ratio in the UK. As expected, these two changes led to a lower aggregate level of risk. Emperical results indicate that credit default swap spreads on the 5‐year subordinated debt of LR banks decreased relative to non‐LR banks post leverage ratio introduction, suggesting the market viewed LR banks as less risky, especially during the COVID 19 stress.