考虑刚性兑付的银行最优资本结构与违约风险研究  

Research on Optimal Capital Structure and Default Risk of Banks under Rigid Payment

作　　者：文璐 冯玲 Wen Lu;Feng Ling(School of Economics and Management,Fuzhou University,Fuzhou 350108,China;Qiaoxing College of Economics and Management,Fujian Polytechina Normal University,Fuzhou 350300,China)

机构地区：[1]福州大学经济与管理学院,福建福州350108 [2]福建技术师范学院侨兴经济与管理学院,福建福州350300

出　　处：《中国管理科学》2024年第1期42-53,共12页Chinese Journal of Management Science

基　　金：教育部人文社会科学研究规划基金项目(23YJA790020)。

摘　　要：随着地方国有企业债务风险的不断加大,如何实现打破刚性兑付与防范银行风险之间的平衡,是目前亟待解决的问题。本文借助银行股权和负债的“期权的期权”特性,将刚性兑付嵌入到银行资本结构决策和违约风险测度中,研究了资本结构固定和可调整两种情形下刚性兑付强度与银行违约风险间的关系,并进一步对比分析了基于标准法和内部评级法的资本监管对刚性兑付下银行风险的抑制效应,以期为防范打破刚性兑付可能引发的银行风险提供参考。研究发现,当资本结构固定时,银行违约风险与刚性兑付强度负相关;当资本结构可调整时,随着刚性兑付强度减弱,银行最优负债水平降低,银行违约风险则呈现出先递增后递减的“倒U”型趋势;基于标准法的资本监管可以有效抑制银行在资本结构决策时的道德风险,降低打破刚性兑付过程中的违约风险,但基于内部评级法的资本监管要求会因刚性兑付下国企债务违约概率的降低而减弱。In order to stabilize employment,Chinese governments usually provide the guaranteed bailout(i.e.,rigid redemption)when state-owned enterprises encounter financial difficulties.The consensus is that,the rigid payment leads to the expansion of implicit debt of local governments.Therefore,its termination would restrain the debt risk.However,since state-owned enterprises are the main demanders of bank credit resources,terminating rigid payment could destabilase the banking system.Thus,how to prevent bank risks in the process of breaking rigid payment is an important question,but academia has not fully explored this problem.The rigid redemption is introduced into the model of bank capital structure and default risk and attempts to answer above question.And the relationship between the rigid payment and the bank default risk is studied in two cases where the banks’capital structure is unadjustable and adjustable,respectively.Furthermore,standardized and internal ratings-bases regulator approaches are applied to our model and how effectively these regulations combat the incentive problems introduced by rigid payment is examined.The results show that(1)The bank default risk will increase with the weakening of rigid payment when the capital structure is fixed.(2)When the capital structure is adjustable,there is a reverse U-shaped relationship between the bank default risk and the rigid pay⁃ment.(3)The capital regulation based on the standardized approach can effectively restrain the moral hazard for the bank at the time of a capital structure decision and reduce the default risk of banks in the process of breaking the rigid payment.However,the capital regulation requirements based on the internal rating approach will be weakened due to the reduction of the default probability of corporate debt under the rigid payment.

关 键 词：刚性兑付 最优资本结构 违约风险 资本监管 

分 类 号：F830[经济管理—金融学]