W Liquid-claim production, risk management, and bank capital structure: Why high leverage is optimal for banks

• 成果类型: Article
• 署名作者: DeAngelo, Harry; Stulz, Rene M.
• 署名单位: University of Southern California; University System of Ohio; Ohio State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.11.011
• 发表日期: 2015
• 页码: 219-236
• 关键词: capital structure; banks; capital regulation

摘要

Liquidity production is a central function of banks. High leverage is optimal for banks in a model that has just enough frictions for banks to have a meaningful role in liquid-claim production. The model has a market premium for (socially valuable) safe/liquid debt, but no taxes or other traditional motives to lever up. Because only safe debt commands a liquidity premium, banks with risky assets use risk management to maximize their capacity to include such debt in the capital structure. The model can explain why banks have higher leverage than most operating firms, why risk management is central to banks' operating policies, why bank leverage increased over the last 150 years or so, and why leverage limits for regulated banks impede their ability to compete with unregulated shadow banks. (C) 2014 Published by Elsevier B.V.