نرخ بهره وام تحت الزامات سرمایه مبتنی بر ریسک: تاثیر ساختار بازار بانکداری

This paper analyzes how the effects of the introduction of risk-based bank capital requirements on bank loan rates depend on the market structure of the banking industry. We show that, when granting loans to borrowers under Basel II or Basel III capital requirements, banks with market power internalize an additional cost, in terms of regulatory capital, associated with the increase of borrowers' risk of default. As a result, the intermediation margin on bank loans increases with the changeover from non-risk to risk-based capital requirements, thereby making lending more expensive.

The introduction of risk-based bank capital requirements, under both Basel II and Basel III, should be welcomed as it improves the adequacy of capital held by banks to the risk of their asset portfolios. Under these rules, the level of capital that a bank has to hold against a given exposure became a positive function of the credit risk of that exposure.3 These developments in banking regulation have motivated additional research in this area. Nevertheless, the analysis of the effects of the implementation of risk-based capital requirements on bank loan rates under different banking industry structures has been overlooked. Conventional economic theory on pricing under imperfect competition states that prices are set as a markup over marginal costs. By developing a partial equilibrium model with oligopolistic banks, this paper shows that the Basel II and Basel III bank capital regulation adds another link to the conventional relationship between prices and quantities: a bank is aware that extending a new loan to a borrower increases the borrower's leverage and, thus, his risk of default; accordingly, that same bank is also aware that it will have to raise more costly bank capital under risk-based capital requirements and will account for this effect when setting loan interest rates. As a result, the intermediation margin on bank loans increases with risk-based capital requirements. We also show that borrowers with a level of risk such that the interest rate on their loans would not adjust with the changeover from non-risk to risk-based capital requirements under perfect competition, face a higher cost of funds with an oligopolistic banking system.

This paper adds to the research agenda on risk-based capital requirements by highlighting the effects that the structure of the banking industry has on the setting of loan interest rates. In particular, we have shown that, in bank loan markets characterized by a Cournot oligopoly, the intermediation margins increase with the changeover from non-risk to risk-based capital requirements, while margins remain constant in competitive markets. Consequently, our analysis suggests the hypothesis that the overall impact of risk-based capital requirements on loan interest rates depends on the distribution of risk and leverage across firms and on the market structure of the banking sector. The effects of the implementation of risk-based capital requirements on the borrowers' cost of funds in a country with a more competitive banking structure may be significantly different from the effects in a country with an oligopolistic structure, and the consideration of the market structure when defining the risk weights used to compute bank capital requirements should be taken into account.