Research Of Risk-taking Behavior For Commercial Bank Under The Three Pillars Of Basel Ⅱ

Caused by the2007global financial crisis, national regulatory were more prudent on the risks and risk management faced by the commercial bank. Capital regulation, supervision and inspection and market constraints had been seen as the three pillars of banking supervision in Basel II, but the financial crisis in2007had exposed the shortcomings of the three pillars in banking supervisioa The goal of this study is the impact of the three pillars and the interaction between them to the risk taking of banks, which has important significance.The other, theoretical analysis, empirical analysis, qualitative analysis and quantitative analysis have been used in this paper. Specific analysis reflected in the follow three aspects: First, based on the defining of related concepts, we analysis the mechanism of the three pillars affect the risk-taking behavior of banks and the major factors affecting risk-taking behavior of commercial banks. Secondly, we build a mathematical model to analysis how the three pillars effectively act on the risk-taking behavior of banks. We have improved the continuous-time model (Decamps et aL,2004), in this model we have introduced implicit guarantee system and successively introduce capital regulation, market discipline and supervision and inspection and research the infection to the risk-taking of bank and the relationship between any two of the three pillars. The conclusion is that the three pillars inhibited the risk-taking behavior of bank, market constraint is a useful complement for the two other pillars and there is an alternative relationship between capital regulation and supervision and inspection Thirdly, we have make a static regression and use dynamic GMM for a dynamic regression base on the data of China. We build capital regulatory pressure REG, official regulatory capacity index SRDEX and information disclosure index INFDEX and Z score which is metrics of bank exposures. We also introduce the cross-term in order to investigate the interaction of the three pillars. In the design process of the empirical method, we use the individual fixed effects model in static model and GMM estimation method in dynamic model. The results show that the results of the static and dynamic models are similar, the three pillars have a significant impact on the risk-taking behavior of commercial banks, and there are complementary or alternative relationships between any two.