欧洲央行-银行的监管风险承受能力（英）

Working Paper Series Banks’ regulatory risk tolerance Mikael Juselius, Aurea Ponte Marques, Nikola Tarashev 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 3161 AbstractWe employ 68 quarters of data – including from non-public supervisory sources – to study how 17 US and17 euro-area banks balance the risk of breaching regulatory requirements against the cost of maintainingand speedily restoring “management” buffers.We find that steady-state management buffer targetssystematically declined and regulatory risk tolerance (RRT) rose following the Great Financial Crisis,especially at banks experiencing a stronger increase in capital requirements. As a sign that RRT is aconscious choice, banks facing more volatile management buffer shocks set higher management buffertargets. High-RRT banks tend to respond to a depletion of their management buffers by cutting lending,whereas low-RRT banks reduce the riskiness but not the volume of their assets — thus highlightingreal-economy effects of capital management strategies.Keywords: Capital management, Management buffer target, Speed of reversion, Bank regulationJEL Codes: G21, G28, E51, G31ECB Working Paper Series No 31611Non-Technical SummaryBanks are required to hold capital to absorb potential losses, thus safeguarding financial stability.Theevolution of the management buffer – the headroom above regulatory capital requirements – reflects banks’tolerance to the risk of a regulatory breach. There is an underlying trade-off. On one hand, larger buffersreduce the risk of regulatory sanctions and enhance resilience. On the other, holding excess capital entailscosts, associated notably with shareholder expectations and pressure from financial markets.From banks’ perspective, the trade-off inherent to management buffers evolved with international capitalstandards. Under Basel I and II, which were in place before the global financial crisis (GFC), a marginalbreach of requirements would be expected to trigger severe penalties, such as license withdrawal or a decla-ration of failure. By contrast, under the post-GFC Basel III framework, a marginal breach involves dippinginto regulatory buffers.The associated consequences – distribution restrictions, supervisory scrutiny, orrequirements to rebuild capital – are considerably milder. Overall, for given supervisory, shareholder andmarket expectations, one would expect banks’ regulatory risk tolerance to have increased post-GFC.The macroeconomic impact of banks’ regulatory risk tolerance is of ultimate interest. Previous researchhas shown that increases in capital requirements that compress banks’ management buffers can also dampencredit supply. By contrast, larger management buffers can help sustain lending and improve credit conditionsin times of stress. As a summary metric of banks’ capital management, regulatory r