监管套利与全球推动因素

U. Aysun, M. Tseng
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摘要

本文确定了国际活跃银行(IABs)监管套利行为与全球金融状况之间的两个理论机制。根据第一种机制,在不利的金融条件下,监管变得更具约束力。在这种情况下,银行在监管更严格的市场中面临更高的合规成本。根据第二种机制,更高的监管会抑制风险承担程度和资产回报,从而使高度监管的国家更不受全球金融风险的影响。在监管较少的国家,这些结果正好相反。我们使用双边BIS银行统计数据和独特的实证策略来发现,上述两种理论机制中的第一种更为普遍。具体来说,当全球对金融风险的认知较高时,在监管较宽松的国家,投行扩大索赔的速度更快。在宽松的条件下,套利的方向是相反的。这一证据被一个结构向量自回归模型的推论所证实,该模型拟合了来自各个国家的数据。
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Regulatory Arbitrage and Global Push Factors
This paper identifies two theoretical mechanisms that relate the regulatory arbitrage behavior of internationally active banks (IABs) to global financial conditions. According to the first mechanism, regulation becomes more binding during adverse financial conditions. Under these conditions, IABs face higher compliance costs in more regulated markets. According to the second mechanism, higher regulation suppresses the degree of risk-taking and asset returns so that highly-regulated nations are more insulated from global financial risk. These results are reversed in less-regulated nations. We use a panel of bilateral BIS banking statistics and a unique empirical strategy to find that the first of the two theoretical mechanisms above is more prevalent. Specifically, IABs expand their claims more rapidly in less-regulated nations when global perception of financial risk is higher. The direction of arbitrage is reversed under loose conditions. This evidence is corroborated by the inferences from a structural vector autoregressive model fitted to data from individual countries.
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