Financing as a supply chain: The capital structure of banks and borrowers

• 成果类型: Article
• 署名作者: Gornall, Will; Strebulaev, Ilya A.
• 署名单位: University of British Columbia; Stanford University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.05.008
• 发表日期: 2018
• 页码: 510-530
• 关键词: Banking; capital structure; capital regulation; seniority; diversification

摘要

We develop a model of the joint capital structure decisions of banks and their borrowers. Bank leverage of 85% or higher emerges because bank seniority both dramatically reduces bank asset volatility and incentivizes risk-taking by producing a skewed return distribution. Nonfinancial firms choose low leverage to protect their banks, presenting a partial resolution to the low-leverage puzzle. Our setup naturally extends to include government actions as we model bank assets using a modified Basel framework. Deposit insurance and bailout expectations lead banks and borrowers to take on more risk. Capital regulation lowers bank leverage but can increase bank risk due to a compensating increase in borrower leverage. Despite this, doubling current capital requirements reduces bank default risk by up to 90%, with only a small increase in loan interest rates. (C) 2018 Elsevier B.V. All rights reserved.