2007年-ECB欧洲央行_Bank_Capital_In_Europe_and_the_US_8页_270kb

Summary of IV Special Features: Bank Capital in Europe and the US

Core Content

This Special Feature examines the capital structures of large publicly-traded banks in Europe and the US, focusing on both regulatory and economic capital ratios. It challenges the traditional view that bank capital is primarily driven by regulatory requirements, suggesting instead that banks behave similarly to non-financial firms in terms of capital structure optimization.

Main Findings

• Capital Levels Exceed Regulatory Minimums: Banks hold capital significantly above the regulatory minimum (4% under Basel I), with average regulatory capital ratios of 11.1% in the US and 8.2% in the 15 EU countries.
• High Dispersion in Capital Ratios: There is considerable variation in capital ratios across banks, which contradicts the expectation that regulatory constraints would lead to uniformity.
• Market Discipline Influences Capital Structures: Investors monitor banks and price debt and equity accordingly, indicating that market discipline plays a role in shaping capital structures.
• Corporate Finance Theories Apply to Banks: Standard corporate finance determinants such as size, profitability, market-to-book value ratio, collateral, and dividend payouts also influence banks' capital structures.
• Regulatory Concerns Are Not the Only Factor: The evidence suggests that capital regulation is not the primary determinant of banks' capital structures, as the capital ratios do not consistently hover near regulatory minimums.
• Economic Capital vs. Regulatory Capital: Economic capital, based on book equity over book assets, is generally lower than regulatory capital, but still well above the minimum.

Key Determinants of Bank Capital Structure

The following factors are identified as significant in determining bank leverage (i.e., capital structure):

• Market-to-Book Value Ratio: A negative relationship is observed, meaning banks with higher market-to-book ratios tend to have lower leverage. This is consistent with corporate finance theories.
• Profitability: More profitable banks tend to have less leverage, supporting the pecking-order and dynamic trade-off theories.
• Size: Larger banks have higher leverage, as expected from corporate finance literature.
• Collateral: Banks with more collateral tend to have higher leverage, as it reduces bankruptcy costs and agency costs.
• Dividends: Banks that pay dividends have lower leverage, as dividends reduce the agency cost of equity.
• Asset Volatility: Banks with more volatile assets have lower leverage, aligning with the idea that higher risk reduces the willingness to borrow.
• Macroeconomic Factors:
  • Stock Market Volatility: A significant determinant of both book and market leverage, indicating that macroeconomic conditions influence capital structures.
  • Term Structure Spread: A larger spread between short-term and long-term interest rates is associated with higher market leverage.
  • GDP Growth: Not found to be statistically significant in explaining cross-sectional variation in capital structures.

Methodology and Data

• Sample Period and Composition: The study covers the period from 1991 to 2004, focusing on the 100 largest publicly-traded commercial banks in the US and 15 EU countries.
• Data Source: The Bankscope database by Bureau van Dijk is used, with adjustments made to eliminate survivorship bias by using historical data.
• Regression Model: A standard capital structure regression model is employed, which includes:
  • Bank-level variables: Market-to-book ratio, profitability, size, collateral, and dividend payouts.
  • Country-level variables: GDP growth, stock market volatility, and term structure spread.
• Results:
  • The model explains a large portion of the variation in leverage, with R² values of 0.72–0.78 for market leverage and 0.32–0.48 for book leverage.
  • All coefficients are statistically significant, except for some exceptions such as the market-to-book ratio for book leverage and collateral for market leverage.
  • The correlation between asset volatility and market-to-book ratio is strong, reducing the significance of the latter in explaining leverage.

Conclusion

The Special Feature concludes that banks' capital structures are influenced by the same corporate finance determinants as non-financial firms, despite the unique regulatory environment. While capital regulation is an important factor, it does not appear to be the sole or primary driver of capital structure decisions. The evidence supports the idea that market discipline and firm-specific factors play a significant role in shaping the capital structures of large banks in Europe and the US.