摘要：We analyze the determinants of regulatory capital (the minimum required by
regulation), economic capital (that chosen by shareholders without regulation),
and actual capital (that chosen with regulation) in a dynamic model of a bank
with a loan-portfolio return described by the single-risk-factor model of Basel
II. We show that variables that only affect economic capital, such as the
intermediation margin and the cost of capital, can account for large deviations
from regulatory capital. Actual capital is closer to regulatory capital, but the
threat of closing undercapitalized banks generates significant capital buffers.
Market discipline, proxied by the coverage of deposit insurance, increases
economic and actual capital, although the effects are small.
