美联储-非对称信息下银行投资组合选择的规制（英）_48页_532kb

Summary of "Regulating Bank Portfolio Choice Under Asymmetric Information"

Introduction

• Banks possess more information than regulators regarding portfolio risks, leading to potential gaming of regulations.
• This paper constructs a tractable model to address asymmetric information and analyzes regulatory tools to mitigate its effects.
• Key tools examined include taxes (linear and nonlinear), nondisclosure of tax information, and taxes on ex-post profits.

Optimal Regulatory Tools

• Linear Taxes: Should not be set conservatively, as costs from under- or overestimating risk balance, and conservatism is not necessary due to the model's linear risk externality.
• Nonlinear Taxes: Allow regulators to incorporate information from banks' portfolio choices if incentives align (e.g., banks' and regulators' directional preferences on investment and risk). The regulator sets a tax function based on expected risk, potentially encouraging or discouraging investments depending on asset characteristics.
• Nondisclosure: Specifying taxes after portfolio selection reduces banks' ability to game regulations. This approach aligns with stress testing practices and can limit information asymmetry.
• Taxes on Ex-Post Profits: A state-dependent or progressive tax on profits can align bank and regulator incentives by reducing effective risk aversion, avoiding the need for regulators to know asset-specific risks. A flat tax is insufficient as it does not alter the risk–return tradeoff.

Policy Implications

• Regulators should prioritize nondisclosure of tax details to limit gaming and encourage truthful portfolio selection.
• Nonlinear risk weights or capital adjustments should automatically respond to bank concentration in certain sectors.
• Profit-based taxes could be used as an interim tool, especially for shadow banking institutions, to discourage excessive risk-taking.

Conclusion

• The paper provides a flexible framework for analyzing asymmetric information in banking regulation, supporting practical tools like nondisclosure and profit taxes to address regulatory challenges. Extensions consider dynamic interactions, alternative risk measurements, and endogenous capital structures.