Bank Capitalization and Risk-Taking: Quantile Regression Analysis

• Main Authors: Wei-Tung Lien, 練維棟
• Other Authors: Shu-Chin Lin
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/33389641565103631361

碩士 === 淡江大學 === 經濟學系碩士班 === 96 === This paper empirically investigates the effects of capital on bank risk-taking activities. Specifically, we examine whether the bank capital-risk link varies with the degree of bank risk. Applying to 54 American commercial banks during the period of 1997-2002, our quantile regression results show that the high-risk banks tend to have greater risk as (both equity and total) capital increases due either to capital regulation or market forces than the low- and middle-risk banks. As such, the stringent capital regulation would lead to more instability in the financial system. Our analysis thus implies that the monetary authorities need to consider the heterogeneous response of banks with different risk in order to reduce bank risk via the relevant capital reforms.