Financing as a supply chain: The capital structure of banks and borrowers

被引:45
作者
Gornall, Will [1 ]
Strebulaev, Ilya A. [2 ,3 ]
机构
[1] Univ British Columbia, Sauder Sch Business, 2053 Main Mall, Vancouver, BC V6T 1Z2, Canada
[2] Stanford Univ, Grad Sch Business, 655 Knight Way, Stanford, CA 94305 USA
[3] Natl Bur Econ Res, 1050 Massachusetts Ave,Ste 32, Cambridge, MA 02138 USA
关键词
Banking; Capital structure; Capital regulation; Seniority; Diversification; TRADE-OFF THEORY; DEPOSIT INSURANCE; CORPORATE-DEBT; COMPOUND OPTIONS; RISK; DEFAULT; MODEL; RATIOS; COST; REQUIREMENTS;
D O I
10.1016/j.jfineco.2018.05.008
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We develop a model of the joint capital structure decisions of banks and their borrowers. Bank leverage of 85% or higher emerges because bank seniority both dramatically reduces bank asset volatility and incentivizes risk-taking by producing a skewed return distribution. Nonfinancial firms choose low leverage to protect their banks, presenting a partial resolution to the low-leverage puzzle. Our setup naturally extends to include government actions as we model bank assets using a modified Basel framework. Deposit insurance and bailout expectations lead banks and borrowers to take on more risk. Capital regulation lowers bank leverage but can increase bank risk due to a compensating increase in borrower leverage. Despite this, doubling current capital requirements reduces bank default risk by up to 90%, with only a small increase in loan interest rates. (C) 2018 Elsevier B.V. All rights reserved.
引用
收藏
页码:510 / 530
页数:21
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