The effects of stress testing on US banks' off‐balance sheet activities
研究了金融危机后新监管规则（风险资本比率和压力测试）对美国银行表外活动的影响，发现资本充足的银行减少了表外业务，而资本不足的银行反而增加，可能存在监管套利。
Abstract This paper investigates the effects of the new post‐financial crisis regulatory regime – risk‐based capital ratios (RBC) and stress tests – on banks' off‐balance sheet activities (OBS). We use a panel of US bank holding companies over the period 2001–2018 to examine the relationship between banks' capital levels and OBS activities. Our major finding is that banks significantly reduced their OBS exposure following the introduction of the new capital regulatory framework requirements. In particular, we show that tighter regulatory RBC resulted in a reduction of OBS activities in well‐capitalised banks. Conversely, we find that under‐capitalised banks increased their OBS activities, which suggests the possibility of regulatory arbitrage.