欧洲央行-支柱1或支柱2中的资本要求：这对市场纪律重要吗？（英）

Working Paper Series Capital requirements in Pillar 1 or Pillar 2: does it matter for market discipline? Niklas Witte Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 2988 AbstractThe results of this paper provide empirical evidence that regulatory capital ratios drive bankCredit Default Swaps (CDS) and that markets react more to changes in capital requirementsif implemented via direct adjustments to Pillar 1 risk weights than imposed as a percentageof Risk-Weighted Assets (RWAs) under Pillar 2. In other words, market discipline on bankcapital adequacy is sensitive to the composition of the capital requirement stack. Therefore,this paper contributes novel insights to existing research on the market relevance of regulatorycapital ratios, on the functioning of the Basel framework, and on market discipline along withits relationship with Pillar 1 and Pillar 2 capital requirements. The findings are relevant inlight of the continuous discussions around the capital regulation for Interest Rate Risk inthe Banking Book (IRRBB) and other Pillar 2 risks because they suggest that risks aremore disciplined by markets if they are reflected in regulatory capital ratios via RWAs.Moreover, the results suggest that further regulatory alignment within the EU can impact thecomparability of regulatory capital ratios and affect pricing decisions. In the first empiricalstep, the research investigates the drivers of CDS and identifies a significant relationshipbetween CDS spreads and regulatory capital ratios. In the second step, the paper researchesa quasi-natural experiment based on an event in the EU banking sector. In 2018, the Swedishsupervisory authority changed the implementation approach of a risk weight floor on Swedishmortgages by shifting it from Pillar 2 to Pillar 1 while keeping total capital requirementsstable. To assess if this merely technical regulatory adjustment triggered an unexpectedreaction by markets, a two-step system Generalised Method of Moments (GMM) regressionis applied to a sample of CDS spreads of 21 European banks between 2014 and 2020.Keywords:European integration, banking regulation, capital requirements, bankdefault risk, funding costs, IRRBB, market disciplineJEL: F36, G12, G21, G28ECB Working Paper Series No 29881Non-Technical SummarySince the Basel II accord, international bank capital regulation rests on three Pillars.Pillar 1 and Pillar 2 govern the different components of total bank capital requirements, whilePillar 3 aims to promote market discipline through disclosure requirements for banks. Pillar1 prescribes minimum capital requirements for credit, operational, and market risks, governsthe calculation of RWAs, and allows to impose additional buffer requirements. Pillar 2 enablessupervisors to require additional capital to cover bank-specific risks that are not or only part