An Investigation on the Effectiveness of Regulation on Bank Capital Adequacy under Alternative Models

本文及針對銀行資本比率管制作一研究，分別考慮在單一存款保險費率、風險基準存款保險費率、存款利率?隨機變數，及投資組合理論等四種分析模式下，探討金融主管機關對銀行實施資本比率管制之效果。結果得到除了在單一存款保險費基?且存款利率?固定常數之情況，資本比率管制?有效之監理措施外，其餘在風險基?存款保險費率、存款利率?隨機變數，及投資組合方法之分析下，均獲致銀行資本比率管制並非是一項有效之監理措施。其中一項重要的影響因素是銀行資?報酬率與存款利率之相關性，即如果銀行資?報酬率與存款利率之相關係數愈低，則資本比率管制愈可能有效。此外，在探討資本比率管制是否有效時，應同時兼顧資本比率提高對銀行之風險和報酬二方面的影響，而且重點應在於資本比率管制是否可以有效地降低銀行的倒閉機率，而不只是資本比率管制是否可以降低銀行的資?風險。This paper attempts to investigate the effectiveness of regulation on bank capital adequacy by applying alternative models, including flat-rate deposit insurance premiums, risk-based deposit insurance premiums, stochastic deposit interest rate and portfolio theory. Our results show that under all alternative models except flat-rate deposit insurance premiums, the regulation on bank capital adequacy is not definitely effective. Since there exists a correlation between bank asset returns and deposit interest rate, the higher the correlation is, the lower the effectiveness of regulation will be. We conclude that whether bank capital regulation is effective or not depends on the effect of bank capital increase on both bank's risk and return, i.e., whether the regulation of bank capital adequacy can reduce the probability of bank failure