新巴塞尔协议下是否依然存在监管资本套利  

Will Regulatory Capital Arbitrage Continue to Exist Under Basel II?

作　　者：沈庆劼[1] 

机构地区：[1]天津财经大学,300222

出　　处：《上海经济研究》2010年第5期13-22,共10页Shanghai Journal of Economics

基　　金：国家自然科学基金项目(70873087);教育部人文社会科学研究项目(07JA790047)资助成果

摘　　要：监管资本套利产生于巴塞尔协议资本监管框架的缺陷,作为巴塞尔协议一个未曾预料的结果,其在西方发达国家发展非常迅速。监管资本套利降低了资本监管的有效性,加剧了银行业的系统性风险,并催生了大量的资产证券化产品,成为美国次贷危机的重要原因。所以监管资本套利与顺周期性一同成为巴塞尔协议所带来的两大首要问题。目前全球范围正在经历从旧巴塞尔向新巴塞尔的转化,中国也将于2010年开始试行新巴塞尔。新巴塞尔代替旧巴塞尔的一个重要动因即消除监管资本套利,那么新巴塞尔协议下是否还会存在监管资本套利呢?有学者认为不会。本文从套利动机与套利空间存在的必然性角度论证了监管资本套利存在的可能性。Regulatory capital arbitrage arising from Basel II capital defects in the regulatory framework,as the Basel II one unexpected result of the development in western countries very rapidly. Regulatory capital arbitrage reduces the effectiveness of capital regulation exacerbated the banking sector systemic risk,and gave birth to a large number of asset securitization products,as the U.S. sub-prime mortgage crisis,an important reason. Therefore,pro-cyclical regulatory capital arbitrage in conjunction with the Basel Accord to become the most important issue arising from the two. Is currently undergoing a global scale from the old to the new Basel,the transformation of China will also be launched as a pilot in 2010 the new Basel. The New Basel replace the old Basel is an important motivation that the elimination of regulatory capital arbitrage,then under the new Basel II regulatory capital arbitrage will continue to exist whether it？ Some scholars think not. In this paper,there is room for arbitrage motivation and the inevitability of the legitimacy of regulatory capital arbitrage angles demonstrated the possibility of its existence.

关 键 词：新巴塞尔协议 监管资本 经济资本 不完全契约 

分 类 号：F830.45[经济管理—金融学]