摘要：The relationship between bank risk and bank capital has been frequently discussed in the literature on banking. There is,however,an enigma remaining. Empirical studies have been inconsistent in their measurement of the impact of increased capital requirements on bank risk. Do higher mandatory capital requirements reduce risk in banking or do they actually increase bank risk? The problem stems from the basic endogenous relationship between risk and capital. In order to regress risk on capital we need an instrument for capital,but it is difficult to find an instrument that is related to a bank’s capital that is not also related to the bank’s risk. In this paper,we propose a solution. Using stochastic frontier analysis we develop an exogenous instrument for capital that is closely correlated with capital but not correlated with risk. We argue that this instrument will be a useful contribution to the analysis of this important topic.
关键词：bank capital adequacy;risk management;capital requirements.
