商业银行监管资本套利的均衡分析  

Equilibrium of Regulatory Capital Arbitrage in Banking

作　　者：沈庆劼[1] 

机构地区：[1]天津财经大学金融学院,天津300222

出　　处：《财经理论与实践》2010年第6期8-14,共7页The Theory and Practice of Finance and 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)

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,是一种利用资本监管制度之间的差异性以及制度内部的不协调性,运用某种手段在不改变实际风险水平的情况下提高资本充足率水平的行为。通过对以下问题的探讨:商业银行监管资本套利所获得的收益在银行与资金需求方之间的配置比例;针对某种资产的监管资本套利,对其他资产供求双方所产生的隐性套利收益的表现形式及其归属程度;由商业银行异质性所导致的监管套利顾客现象;信息不对称情况下,市场对于套利者与非套利者的逆向选择等等,认为银行监管部门应适当引导符合政策意图的套利行为,提高政策引导调控能力。Regulatory capital arbitrage which grows out of the default of Basal is an action that raises the capital rate without change of the real risk,relay on the differences or inconformity between the accords.This paper discuses the allocation of gains between bank and the demand side of fund from regulatory capital arbitrage,the mode and the allocation of the implicit arbitrage gains to the demand and supply side of one asset which result from regulatory capital arbitrage of the other asset,adverse selection between arbitrageurs and un-arbitrageurs with information asymmetry.Result shows that the regulators should guide the regulatory capital arbitrage accord with the purpose of the regulators＇.

关 键 词：监管资本套利 套利收益归宿 隐性套利收益 监管套利顾客 柠檬市场 

分 类 号：F830.2[经济管理—金融学]