Bank Capital and Dividend Externalities

• 成果类型: Article
• 署名作者: Acharya, Viral V.; Le, Hanh T.; Shin, Hyun Song
• 署名单位: New York University; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Bank for International Settlements (BIS)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw096
• 发表日期: 2017
• 页码: 988
• 关键词: risk; MODEL

摘要

Dividend payouts erode equity capital and affect the relative value of claims on a bank. Through this channel, when banks have contingent claims on each other, one bank's capital policy affects the equity value and risk of default for other banks. When such externalities are strong, bank capital becomes a public good, whereby the private equilibrium features excessive dividends and inefficient recapitalization relative to the efficient policy that maximizes total banking sector equity. We relate these implications to the observed bank behaviour during the crisis of 2007-2009.