الآثار المعتدلة لتنظيم رأس المال والسلطة الرقابية على حساسية المخاطر لمتطلبات رأس مال البنك

المؤلفون

  • محمد البيتي

DOI:

https://doi.org/10.36394/jhss/17/2B/12

الكلمات المفتاحية:

متطلبات رأس المال المصرفي، تنظيم رأس المال، الديون الحكومية إلى الناتج المحلي الإجمالي، والأصول المرجحة بالمخاطر، والسلطة الإشرافية

الملخص

استنادا إلى بيانات البنك من 61 من أكبر البنوك في آسيا والشرق الأوسط، تقدم هذه الورقة تحليلا للآثار التي تترتب على تنظيم رأس المال والإجراءات الإشرافية الصارمة على مدى حساسية متطلبات رأس المال المصرفي. وفي حين أن العوامل الخاصة بالبنوك، وهي المخزونات الاحتياطية والودائع والقروض والسلطة الإشرافية للبنوك، ذات دلالة إحصائية، لا توجد أدلة واضحة تثبت أن تنظيم رأس المال ومعدل نمو الناتج المحلي الإجمالي يؤثران على حساسية المخاطر لدى المصارف. وباستخدام GMM، تشير نتائجنا إلى أن قوة الإشراف الأكثر صرامة المقترنة بالنظم التنظيمية لرأس المال تزيد من حساسية المخاطر لدى البنوك. هذه النتائج لها اثنان من الآثار المترتبة على السياسات. أولا، مدى فعالية متطلبات رأس المال القائمة على المخاطر في التحكم في مخاطر البنوك بشكل مستقل عن متطلبات رأس المال التي تضعها السلطات. وثانيا، يكون للعوامل الخاصة بالبنك أثر أكثر أهمية على المخاطر على مستوى المصرف من العوامل الخارجية. وللرقابة على مستوى المخاطر المصرفية وإدارتها، تظهر هناك حاجة واضحة، في الاقتصادات الصاعدة على الأقل، إلى قيام الهيئات الرقابية برصد تشغيل المصارف وأدائها بالإضافة إلى التحقق من امتثالها لمتطلبات رأس المال.

المراجع

Acharya, V.; Philippon, T.; Richardson, M.; Roubini, N. 2009. The financial crisis of 2007-2009: causes and remedies. Financial Markets, Institutions & Instruments 18(2): 89-137. http://dx.doi.org/10.1111/j.1468-0416.2009.00147_2.x.

https://doi.org/10.1111/j.1468-0416.2009.00147_2.x

Acharya, V.; Schnabl, P.; Suarez, G. 2013. Securitization without risk transfer. Journal of Financial Economics 107(3): 515-536.

https://doi.org/10.1016/j.jfineco.2012.09.004

http://dx.doi.org/10.1016/j.jfineco.2012.09.004

https://doi.org/10.1016/j.jfineco.2012.09.004

Albaity, M.; Toobaee, M. 2017. The Risk-sensitivity of Bank Capital Requirements: The Moderating Effects of Capital Regulation and Supervisory Power. International Journal of Economics and Financial Issues7(2): 94-102.

Avery, R. B.; Berger, A. N. 1991. Risk-based capital and deposit insurance reform. Journal of Banking & Finance 15(4): 847-874.

https://doi.org/10.1016/0378-4266(91)90103-S

http://dx.doi.org/10.1016/0378-4266(91)90103-s

https://doi.org/10.1016/0378-4266(91)90103-S

Avramova, S.; Le Leslé, V. 2012. Revisiting risk-weighted assets. IMF Working Papers, 12(90): 1. http://dx.doi.org/10.5089/9781475502657.001

https://doi.org/10.5089/9781475502657.001

Barakova, I.; Palvia, A. 2014. Do banks' internal Basel risk estimates reflect risk? Journal of Financial Stability 13(1): 167-179.

https://doi.org/10.1016/j.jfs.2014.05.005

http://dx.doi.org/10.1016/j.jfs.2014.05.005

https://doi.org/10.1016/j.jfs.2014.05.005

Barth, J. R.; Caprio, G.; Levine, R. 2004. Bank regulation and supervision: what works best? Journal of Financial Intermediation 13(2): 205-248.

https://doi.org/10.1016/j.jfi.2003.06.002

http://dx.doi.org/10.1016/j.jfi.2003.06.002

https://doi.org/10.1016/j.jfi.2003.06.002

Berger, A. N. 1995. The relationship between capital and earnings in banking. Journal of Money, Credit and Banking 27(2): 432.

https://doi.org/10.2307/2077877

http://dx.doi.org/10.2307/2077877.

https://doi.org/10.2307/2077877

Berger, A. N.; Herring, R. J.; Szegö, G. P. 1995. The role of capital in financial institutions. Journal of Banking & Finance 19(3-4): 393-430.

https://doi.org/10.1016/0378-4266(95)00002-X

http://dx.doi.org/10.1016/0378-4266(95)00002-x

https://doi.org/10.1016/0378-4266(95)00002-X

Blundell, R.; Bond, S. 1998. Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics 87(1): 115-143.

https://doi.org/10.1016/S0304-4076(98)00009-8

http://dx.doi.org/10.1016/s0304-4076(98)00009-8

https://doi.org/10.1016/S0304-4076(98)00009-8

Brownbridge, M., & Kirkpatrick, C. (2000). Financial regulation in developing countries. Journal of Development Studies, 37(1), 1-24.

https://doi.org/10.1080/713600056

Calem, P.; Rob, R. 1999. The impact of capital-based regulation on bank risk-taking. Journal of Financial Intermediation 8(4): 317-352.

https://doi.org/10.1006/jfin.1999.0276

http://dx.doi.org/10.1006/jfin.1999.0276

https://doi.org/10.1006/jfin.1999.0276

Davies, H. 2005. A review of the Review. Financial Markets Institutions & Instruments 14(5): 247-252. http://dx.doi.org/10.1111/j.0963-8008.2005.00106.x

https://doi.org/10.1111/j.0963-8008.2005.00106.x

Delis, M. D.; Karavias, Y. 2015. Optimal versus realized bank credit risk and monetary policy. Journal of Financial Stability 16(1): 13-30.

https://doi.org/10.1016/j.jfs.2014.11.004

http://dx.doi.org/10.1016/j.jfs.2014.11.004

https://doi.org/10.1016/j.jfs.2014.11.004

Feess, E.; Hege, U. 2011. The Basel accord and the value of bank differentiation. Review of Finance 16(4): 1043-1092.

https://doi.org/10.1093/rof/rfr002

http://dx.doi.org/10.1093/rof/rfr002

https://doi.org/10.1093/rof/rfr002

Fischer, S. 2002. Basel II: Risk management and implications for banking in emerging market countries. In William Taylor Memorial Lecture at the International Conference of Banking Supervisors, September 19, 2002, Cape Town, South Africa.

Flannery, M. J.; Rangan, K. P. 2007. What caused the bank capital build-up of the 1990s? Review of Finance 12(2): 391-429.

https://doi.org/10.1093/rof/rfm007

http://dx.doi.org/10.1093/rof/rfm007

https://doi.org/10.1093/rof/rfm007

Furlong, F. T.; Keeley, M. C. 1989. Capital regulation and bank risk-taking: A note. Journal of Banking & Finance 13(6): 883-891.

https://doi.org/10.1016/0378-4266(89)90008-3

http://dx.doi.org/10.1016/0378-4266(89)90008-3

https://doi.org/10.1016/0378-4266(89)90008-3

Hakenes, H.; Schnabel, I. 2011. Bank size and risk-taking under Basel II. Journal of Banking & Finance 35(6): 1436-1449.

https://doi.org/10.1016/j.jbankfin.2010.10.031

http://dx.doi.org/10.1016/j.jbankfin.2010.10.031

https://doi.org/10.1016/j.jbankfin.2010.10.031

Hellwig, M. 2010. Capital regulation after the crisis: business as usual? CESifo DICE Report 8: 40-46.

https://doi.org/10.2139/ssrn.1645224

Jacques, K.; Nigro, P. 1997. Risk-based capital, portfolio risk, and bank capital: A simultaneous equations approach. Journal of Economics and Business 49(6): 533-547.

https://doi.org/10.1016/S0148-6195(97)00038-6

http://dx.doi.org/10.1016/s0148-6195(97)00038-6

https://doi.org/10.1016/S0148-6195(97)00038-6

Jones, D. 2000. Emerging problems with the Basel capital accord: Regulatory capital arbitrage and related issues. Journal of Banking & Finance 24(1): 35-58.

https://doi.org/10.1016/S0378-4266(99)00052-7

http://dx.doi.org/10.1016/s0378-4266(99)00052-7

https://doi.org/10.1016/S0378-4266(99)00052-7

Kim, D.; Santomero, A. M. 1988. Risk in Banking and Capital Regulation. The Journal of Finance 43(5): 1219-1233.

https://doi.org/10.1111/j.1540-6261.1988.tb03966.x

http://dx.doi.org/10.1111/j.1540-6261.1988.tb03966.x

https://doi.org/10.1111/j.1540-6261.1988.tb03966.x

Laeven, L.; Levine, R. 2009. Bank governance, regulation and risk taking. Journal of Financial Economics 93(2): 259-275.

https://doi.org/10.1016/j.jfineco.2008.09.003

http://dx.doi.org/10.1016/j.jfineco.2008.09.003

https://doi.org/10.1016/j.jfineco.2008.09.003

Ledo, M. 2011. Towards more consistent, albeit diverse, risk-weighted assets across banks. Rivista de Estabilidad Financiera 21: 41-61.

Mariathasan, M.; Merrouche, O. 2014. The manipulation of Basel risk-weights. Journal of Financial Intermediation 23(3): 300-321.

https://doi.org/10.1016/j.jfi.2014.04.004

http://dx.doi.org/10.1016/j.jfi.2014.04.004

https://doi.org/10.1016/j.jfi.2014.04.004

Merton, R. C. 1995. Financial innovation and the management and regulation of financial institutions. Journal of Banking & Finance 19(3): 461-481.

https://doi.org/10.1016/0378-4266(94)00133-N

http://dx.doi.org/10.1016/0378-4266(94)00133-n

https://doi.org/10.1016/0378-4266(94)00133-N

Moosa, I. A. 2010. Basel II as a casualty of the global financial crisis. Journal of Bank Regulation 11(2): 95-114.

https://doi.org/10.1057/jbr.2010.2

http://dx.doi.org/10.1057/jbr.2010.2

https://doi.org/10.1057/jbr.2010.2

Repullo, R.; Suarez, J. 2004. Loan pricing under Basel capital requirements. Journal of Financial Intermediation 13(4): 496-521.

https://doi.org/10.1016/j.jfi.2004.07.001

http://dx.doi.org/10.1016/j.jfi.2004.07.001

https://doi.org/10.1016/j.jfi.2004.07.001

Rime, B. 2001. Capital requirements and bank behavior: Empirical evidence for Switzerland. Journal of Banking & Finance 25(4): 789-805.

https://doi.org/10.1016/S0378-4266(00)00105-9

http://dx.doi.org/10.1016/s0378-4266(00)00105-9

https://doi.org/10.1016/S0378-4266(00)00105-9

Roodman, D., 2006. How to do xtabond2: an introduction to "Difference" and "System" GMM in Stata. Center for Global Development Working Paper, No. 103.

https://doi.org/10.2139/ssrn.982943

Schliephake, E. 2013. Risk weighted capital regulation and government debt (No. 130011). Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.

Sharpe, W. F. 1978. Bank capital adequacy, deposit insurance and security values. The Journal of Financial and Quantitative Analysis 13(4): 701.

https://doi.org/10.2307/2330475

http://dx.doi.org/10.2307/2330475

https://doi.org/10.2307/2330475

Shrieves, R. E.; Dahl, D. 1992. The relationship between risk and capital in commercial banks. Journal of Banking & Finance 16(2): 439-457.

https://doi.org/10.1016/0378-4266(92)90024-T

http://dx.doi.org/10.1016/0378-4266(92)90024-t

https://doi.org/10.1016/0378-4266(92)90024-T

Vallascas, F.; Hagendorff, J. 2013. The risk sensitivity of capital requirements: evidence from an international Sample of large banks. Review of Finance 17(6): 1947-1988.

https://doi.org/10.1093/rof/rfs042

http://dx.doi.org/10.1093/rof/rfs042

https://doi.org/10.1093/rof/rfs042

Windmeijer, F. 2005. A finite sample correction for the variance of linear efficient two-step GMM estimators. Journal of Econometrics 126(1): 25-51.

https://doi.org/10.1016/j.jeconom.2004.02.005

http://dx.doi.org/10.1016/j.jeconom.2004.02.005

https://doi.org/10.1016/j.jeconom.2004.02.005

Windmeijer, F. 2005. A finite sample correction for the variance of linear efficient two-step GMM estimators. Journal of econometrics, 126(1), 25-51.

https://doi.org/10.1016/j.jeconom.2004.02.005

منشور

2021-10-27

كيفية الاقتباس

البيتي محمد. 2021. "الآثار المعتدلة لتنظيم رأس المال والسلطة الرقابية على حساسية المخاطر لمتطلبات رأس مال البنك". مجلة جامعة الشارقة للعلوم الانسانية والاجتماعية 17 (2B):44-72. https://doi.org/10.36394/jhss/17/2B/12.