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Bank Capital Shocks and Portfolio Risk: Evidence from Japan
http://hdl.handle.net/10086/13921
http://hdl.handle.net/10086/13921e5051c5b-b910-441f-914e-9df471ba02ec
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
wp2004-24a.pdf (315544 bytes)
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| アイテムタイプ | デフォルトアイテムタイプ（フル）その２(1) | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 公開日 | 2017-05-20 | |||||||||||
| タイトル | ||||||||||||
| タイトル | Bank Capital Shocks and Portfolio Risk: Evidence from Japan | |||||||||||
| 言語 | en | |||||||||||
| 作成者 |
岩壷, 健太郎
× 岩壷, 健太郎
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| 寄与者 | ||||||||||||
| 寄与者タイプ | Editor | |||||||||||
| 姓名 | Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University | |||||||||||
| 言語 | en | |||||||||||
| アクセス権 | ||||||||||||
| アクセス権 | open access | |||||||||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||||||
| 主題 | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | Bank risk | |||||||||||
| 主題 | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | Risk-shifting incentives | |||||||||||
| 主題 | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | Fran-chise value | |||||||||||
| 主題 | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | Capital adequacy requirement | |||||||||||
| 内容記述 | ||||||||||||
| 内容記述タイプ | Abstract | |||||||||||
| 内容記述 | Despite the downward trend of land prices and the ex-post low return on real estate loans, Japanese banks increased their lending to the real estate sector during the 1990s. We argue that this phenomenon can be explained by the risk-shifting incentives of banks and discover that banks with low capital-to-asset ratios and low franchise value chose high-risk assets such as real estate loans. Unlike previous studies, we show that the capital-risk relationship is nonlinear and changes from positive to negative as franchise value falls. We also find that a capital adequacy requirement did not prevent risk-taking behavior of undercapitalized banks since they then just issued more subordinated debts to meet this requirement. In contrast, government capital injections led banks to reduce risky loans at the margin. Recapitalization by issuing subordinated debts helped banks recover their capital losses and mitigated the credit crunch, but consequently allowed them to increase their exposure to the real estate sector and worsened the bad loan problems. | |||||||||||
| 言語 | en | |||||||||||
| 出版者 | ||||||||||||
| 出版者 | Institute of Economic Research, Hitotsubashi University | |||||||||||
| 日付 | ||||||||||||
| 日付 | 2005-03 | |||||||||||
| 日付タイプ | Issued | |||||||||||
| 言語 | ||||||||||||
| 言語 | eng | |||||||||||
| 資源タイプ | ||||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||||||
| 資源タイプ | technical report | |||||||||||
| 出版タイプ | ||||||||||||
| 出版タイプ | VoR | |||||||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||||
| 関連情報 | ||||||||||||
| 関連タイプ | isPartOf | |||||||||||
| 関連名称 | CEI Working Paper Series ; No. 2004-24 | |||||||||||
| 関連情報 | ||||||||||||
| 識別子タイプ | URI | |||||||||||
| 関連識別子 | http://cei.ier.hit-u.ac.jp/index.html | |||||||||||
| 収録物識別子 | ||||||||||||
| 収録物識別子タイプ | NCID | |||||||||||
| 収録物識別子 | AA11590659 | |||||||||||
| ページ数 | ||||||||||||
| ページ数 | 35 | |||||||||||
| JEL | ||||||||||||
| 値 | G21 | |||||||||||
| JEL | ||||||||||||
| 値 | C33 | |||||||||||
