اثر اظهارات باسل در پرتفوی بانک در ژاپن

This study investigates the hypothesis that stricter capital adequacy requirements introduced under the Basel Accord caused Japanese banks to alter their portfolios away from heavily weighted risk assets such as loans and corporate bonds and into unweighted assets such as government bonds. Using a panel of Japanese bank balance sheets for fiscal years 1982–1999, this study finds that neither international nor domestic bank asset portfolios are strongly affected by the total regulatory capital ratio. However, there is clear evidence that international bank asset portfolios are highly sensitive to the core tier I capital requirement. International banks with relatively low core capital ratios tend to reduce heavily risk weighted assets such as loans and substitute into unweighted low-risk assets such as government bonds. International banks with relatively low core capital ratios also tend to issue more subordinated debt, which counts toward tier II capital. This sensitivity of international bank portfolios to capitalization is only observed in the post-Basel period since 1988, indicating that the regulatory changes implemented under the Accord significantly affected the behavior of international banks. There is no evidence that the portfolios of domestic banks were affected by the Accord. J. Japanese Int. Economies19 (1) (2005) 24–36.

The Basel Accord, which was signed in 1988, requires internationally active banks to maintain a capital to risk-weighted asset ratio of at least 8%. Japanese regulators allowed banks with purely domestic business the option of maintaining a ratio of capital to assets of at least 4%,1 and all banks in Japan were given 5 years to adjust to the new standards before the Accord became binding in fiscal year 1992. Despite these allowances, many Japanese banks struggled to meet the new requirements during the transition period and fears of a “capital crunch”—a reduction in bank lending in response to stricter regulations on bank capital—brought on by the Basel Accord capital adequacy standards began to surface in Japan in the early 1990s. Sluggish growth in bank credit and other macroeconomic aggregates throughout Japan's “lost decade” has revived interest in the relationship between regulatory capital and lending in Japan.

This is the first study to explore the sensitivity of various risk weight categories of assets to both total regulatory capital and core regulatory capital and to examine differences in the sensitivity of asset growth to regulatory capital for domestic and international banks in Japan. The results demonstrate that capital adequacy requirements introduced under the Basel Accord of 1988 affect the behavior of international and domestic banks in Japan very differently.