Perverse Effects of a Ratings-Related Capital Adequacy System

Honohan, Patrick

World Bank, Washington, DC

关键词: BANK CAPITAL;    BANK FAILURE;    BANK FAILURES;    BANK LENDING;    BANK SAFETY;   

DOI  :  10.1596/1813-9450-2364
RP-ID  :  WPS2364

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

It has recently been proposed that banksbe allowed to hold less capital against loans to borrowerswho have received a favorable rating by an approved ratingagency. But a plausible model of rating-agency behaviorshows that this strategy could have perverse results,actually increasing the risk of deposit insurance outlays.First, there is an issue of signaling, with low-abilityborrowers possibly altering their behavior to secure a lowercapital requirement for their borrowing. Second,establishing a regulatory cut-off may actually reduce theamount of risk information made available by raters.Besides, the credibility of rating agencies may not bedamaged by neglect of the risk of unusual systemic shocks,although deposit insurers greatest outlays come chiefly attimes of systemic crisis. And using agencies'individual ratings is unlikely to be an effectiveearly-warning system for the risk of systemic failure, souse of the ratings could lull policymakers into a falsesense of security. It is important to harness marketinformation to improve bank safety (for example, byincreasing the role of large, well-informed, but uninsuredclaimants), but this particular approach could becounterproductive. Relying on ratings could induce borrowersto increase their exposure to systemic risk even if theyreduce exposure to specific risk.