金融危機時における銀行バランスシートリスクと貸出行動の誤認識問題

• Project/Area Number: 18K01693
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Review Section: Basic Section 07060:Money and finance-related
• Research Institution: Sapporo Gakuin University
• Principal Investigator: 井上 仁 札幌学院大学, 経済学部, 准教授 (10545057)
• Co-Investigator(Kenkyū-buntansha): 中島 清貴 甲南大学, 経済学部, 教授 (00367939)
• Project Period (FY): 2018-04-01 – 2022-03-31
• Project Status: Discontinued (Fiscal Year 2021)
• Budget Amount: ¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000); Fiscal Year 2021: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2020: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2019: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000); Fiscal Year 2018: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
• Keywords: 銀行貸出 / 自己資本比率 / ローンレベルデータ / マーケット情報 / 銀行資本構成 / 資本構成

Outline of Annual Research Achievements

本研究の目的は，金融危機時において，銀行の倒産リスクを誤って測定することにより銀行貸出行動を誤って認識してしまう可能性を実証的に検証することである．まず銀行の倒産リスクを測定する変数として2つの変数に着目した．1つは規制自己資本比率である．これはバーゼル規制で用いられる指標であり，簿価情報に基づいて銀行が公表している．制度上，銀行経営者の裁量によって恣意的に決定できる側面があり，先行研究でも批判がある指標である．もう1つは市場自己資本比率である．これはマーケットで評価された株主資本を用いた指標である．銀行は株式発行によって資本を調達しており，株式市場は当然，銀行の倒産リスクを株価に反映させる形で評価する．ここに銀行経営者の裁量が入り込む余地はない．
本研究で，1つ目の規制自己比率を用いた場合には，銀行貸出行動において「追い貸し」仮説が支持される実証結果が得られ，2つ目の市場自己資本比率を用いた場合には「貸し渋り」仮説が支持される実証結果が得られた．加えて，標準的なコーポレートファイナンス理論に基づいてこれら2つの自己資本比率の決定要因を分析したところ，2つ目の市場自己資本比率は標準的な理論が示唆する要因によって決定されている一方で，1つ目の規制自己資本比率はそれらの要因では説明できなかった．
これらの結果から導かれる本研究の結論は，不適切な指標である規制自己資本比率を用いて銀行の倒産リスクを計測することで，銀行貸出行動において本来は観察されないはずの「追い貸し」行動が分析上誤って表出している可能性があり，真の銀行行動は「貸し渋り」であるということである．
このように銀行貸出行動を誤って認識することが銀行政策に与える影響は大きく，金融危機時における貸出行動に対する誤った認識を基に誤った政策が実行されることにもなりかねない．ここに本研究の意義と重要性を見い出すことができる．

Research Products

• [Journal Article] The Time Has Come for Banks to Say Goodbye: New Evidence on Bank Roles and Duration Effects in Relationship Terminations (2020)
  • Author(s): Kiyotaka Nakashima and Koji Takahashi
  • Journal Title: Journal of Banking and Finance Volume: － Pages: 105813-105813
  • DOI: 10.1016/j.jbankfin.2020.105813
  • Peer Reviewed
• [Journal Article] The Impacts of Strengthening Regulatory Surveillance on Bank Behavior: A Dynamic Analysis from Complete to Incomplete Enforcement of Capital Regulation in Microprudential Policy (2020)
  • Author(s): Kiyotaka Nakashima and Toshiaki Ogawa
  • Journal Title: SSRN Volume: －
  • Open Access
• [Journal Article] The Sensitivity Effect of Uncertainty on Corporate Investment through Internal and External Financing: Evidence on Cautionary Channel from Japanese Manufacturing Firms (2020)
  • Author(s): Hitoshi Inoue, Masayo Kani, and Kiyotaka Nakashima
  • Journal Title: SSRN Volume: －
  • Open Access
• [Journal Article] Credit Allocation and Real Effects of Negative Interest Rates: Micro-Evidence from Japan (2019)
  • Author(s): Hitoshi Inoue, Kiyotaka Nakashima, and Koji Takahashi
  • Journal Title: SSRN Volume: －
  • Open Access
• [Journal Article] The effectiveness of the negative interest rate policy in Japan: An early assessment (2019)
  • Author(s): Yuzo Honda and Hitoshi Inoue
  • Journal Title: Journal of the Japanese and International Economies Volume: 印刷中 Pages: 142-153
  • DOI: 10.1016/j.jjie.2019.01.001
  • NAID: 210000175634
  • Peer Reviewed
• [Journal Article] Cash Usage Trends in Japan: Evidence Using Aggregate and Household Survey Data (2019)
  • Author(s): Hiroshi Fujiki and Kiyotaka Nakashima
  • Journal Title: TCER Working Paper Series Volume: －
  • Open Access
• [Journal Article] Identifying Quantitative and Qualitative Monetary Policy Shocks (2019)
  • Author(s): Kiyotaka Nakashima, Masahiko Shibamoto, and Koji Takahashi
  • Journal Title: SSRN Volume: －
  • Open Access
• [Journal Article] Risk-Taking Channel of Unconventional Monetary Policies in Bank Lending (2019)
  • Author(s): Kiyotaka Nakashima, Masahiko Shibamoto, and Koji Takahashi
  • Journal Title: SSRN Volume: －
  • Open Access
• [Journal Article] The Real Effects of Bank-Driven Termination of Relationships: Evidence from Loan-level Matched Data (2018)
  • Author(s): Kiyotaka Nakashima and Koji Takahashi
  • Journal Title: Journal of Financial Stability Volume: 39 Pages: 46-65
  • DOI: 10.1016/j.jfs.2018.09.002
  • Peer Reviewed
• [Journal Article] The Time Has Come for Banks to Say Goodbye: New Evidence on Bank’s Roles and Duration Effects in Relationship Terminations (2018)
  • Author(s): Kiyotaka Nakashima and Koji Takahashi
  • Journal Title: SSRN Volume: －
  • Open Access
• [Journal Article] The Emergence of a Parallel World: The Misperception Problem for Bank Balance Sheet and Lending Behavior (2018)
  • Author(s): Hitoshi Inoue, Kiyotaka Nakashima, and Koji Takahashi
  • Journal Title: SSRN Volume: －
  • Open Access
• [Journal Article] The Interaction Effects in a Nonlinear Specification of Bank Lending: A Reexamination of “Unnatural Selection” (2018)
  • Author(s): Hitoshi Inoue, Kiyotaka Nakashima, and Koji Takahashi
  • Journal Title: SSRN Volume: －
  • Open Access
• [Journal Article] Psychological Motivation for Collective Behavior: Comparison between Japan and U.S. (2018)
  • Author(s): Shinichi Hirota, Kiyotaka Nakashima, and Yoshiro Tsutsui
  • Journal Title: SSRN Volume: －
  • Open Access
• [Presentation] Credit Allocation and Real Effects of Negative Interest Rates: Micro-Evidence from Japan (2019)
  • Author(s): 中島 清貴
  • Organizer: The Society for Computational Economics 25th International Conference: Computing in Economics and Finance
  • Int'l Joint Research
• [Presentation] Real Effects of Negative Interest Rates: Micro-Evidence from Japan (2019)
  • Author(s): 中島 清貴
  • Organizer: 日本経済学会2019年度秋季大会
• [Presentation] The Emergence of a Parallel World: The Misperception Problem for Bank Balance Sheet Risk and Lending Behavior (2018)
  • Author(s): 井上 仁
  • Organizer: 日本ファイナンス学会第26回大会
• [Presentation] The Emergence of a Parallel World: The Misperception Problem for Bank Balance Sheet Risk and Lending Behavior (2018)
  • Author(s): 井上 仁
  • Organizer: 2018 Asian Meeting of the Econometric Society
  • Int'l Joint Research
• [Presentation] Identifying Quantitative and Qualitative Monetary Policy Shocks (2018)
  • Author(s): 中島 清貴
  • Organizer: The China Meeting of the Econometric Society
  • Int'l Joint Research
• [Presentation] Risk-Taking Channel of Unconventional Monetary Policies in Bank Lending (2018)
  • Author(s): 中島 清貴
  • Organizer: The North American Meeting of the Econometric Society
  • Int'l Joint Research
• [Presentation] Risk-Taking Channel of Unconventional Monetary Policies in Bank Lending (2018)
  • Author(s): 中島 清貴
  • Organizer: The Royal Economic Society Annual Meeting
  • Int'l Joint Research
• [Presentation] Risk-Taking Channel of Unconventional Monetary Policies in Bank Lending (2018)
  • Author(s): 高橋 耕史
  • Organizer: The International Conference on Computing in Economics and Finance
  • Int'l Joint Research