銀行の資本構成と自己資本比率規制

This study proposes a model that describes banks' decisions about their capital structures and analyzes the regulation of the capital adequacy ratio (CAR), that is, the ratio of equity finance to risky assets. The aim of this study is to investigate two questions. First, which level of CAR is optimal for a bank when both deposit finance and equity finance have advantages and disadvantages. Second, whether or not a bank reduces the amount of lending when it is required to rise its CAR. In this study, we analyze tow types of the model: one without a constraint on the maximum amount of funding a bank can obtain from households, and one with the constraint. In either case, the optimal CAR could be determined as an interior solution. In addition, a regulation of the CAR decreases a bank's profit if its CAR is not large enough to satisfy the regulation in either case. Even though an unsound bank always chooses to use more equity finance to satisfy regulation in the former case, it would choose to reduce the amount of lending in the latter case because its capital structure is affected by households portfolio optimizations. The model shows that the more risk-averse households are, the more likely a bank is to reduce lending. These results show that there is a positive probability that regulating banks' capital structures have a negative effect in economy, and to investigate such effect we consider the interaction between banks and households more carefully.