Strategic Bank Liability Structure Under Capital Requirements

• 成果类型: Article
• 署名作者: Sundaresan, Suresh; Wang, Zhenyu
• 署名单位: Columbia University; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.4570
• 发表日期: 2023
• 页码: 6349-6368
• 关键词: liability structure; Capital requirement; Bank leverage; Deposit insurance; Bank regulation

摘要

Banks strategically choose and dynamically restructure deposits and nondeposit debt in response to the minimum requirements on total capital and tangible equity. We derive the optimal strategic liability structure and show that it minimizes the protection for deposits conditional on capital requirements. Although, given any liability structure, regulators can set capital requirements high enough to remove the incentive for risk substitution, the strategic response to the capital requirements always preserves this incentive. Banks reduce leverage but increase the proportion of nondeposit debt if regulations raise the capital requirements.