Departmental Bulletin Paper 公的資本注入の貸し渋り抑制効果

モンゴメリ, ヘザー

(85)  , pp.45 - 67 , 2018-03-31 , 国際基督教大学
Following the global financial crisis of 2007-2008, policymakers around theworld were forced to experiment with new financial policies that were as yetuntested. Some of the most vigorous policy debates in free-market economies inthe United States and Europe centered upon whether and how to recapitalize theirdamaged banks. Many policymakers looked to the experience of Japan, whichhad faced its own domestic banking crisis nearly ten years earlier and grappledwith similar policy questions. This study examines the impact of Japan’s decisionto inject nearly 100 billion dollars of public funds into the banking system inJapan in 1997, 1998 and 1999.This study empirically analyzes the effect of the capital injections on banklending. However, the main objective of this paper is to illustrate how differentempirical techniques can be used to isolate various relationships in the data.Therefore, the empirical analysis proceeds methodically, beginning with crosssectionalanalysis of a sample of 109 banks in each of the three years in which acapital injection was carried out. The analysis then proceeds to ordinary leastsquares analysis of pooled data for all 109 banks over the 10 year period of 1990to 2000. Then panel data techniques are applied and the effect of including timefixed effects to control for unobserved factors that might influence the lendingbehavior of all banks in a given year, and individual fixed effects to control forunobserved factors that might influence the lending behavior of a given individualbank throughout the sample, are explored.In addition to exploring the effects of different empirical techniques, thispaper investigates the research question of how capital injections influence banklending on various subsamples of the data. In particular, the pooled OLS andpanel data analysis is carried out on the entire sample of banks, as explainedabove, and two subsamples: domestic banks, which in Japan are subject to a 4%MOF ratio capital requirement instituted by the Ministry of Finance, andinternational banks, which are subject to the global standard of an 8% BIS ratiocapital requirement.Finally, this study considers the effect of the legal framework under whichthe capital injections were carried out. In the analysis of the full sample of pooleddata, the potential impact of the first round of capital injections in 1997, whichwere carried out under the financial function stabilization law, and the potentialimpact of the second and third round of capital injections in 1998 and 1999, whichwere carried out under the early strengthening law, are disaggregated. Aside fromthe research findings, this approach illustrates the use of step dummy variables ineconometrics.The results of the empirical analysis show that on the whole, the capitalinjections in Japan seem to have encouraged banks to increase lending, preventing– or at least ameliorating - a so-called “credit crunch”. However, the effect of thecapital injection is different in significant ways depending upon the legalframework under which the recapitalization was implemented and the kind ofbanking regulation which the bank receiving the capital was subject to. Inparticular, the capital injections carried out under the financial functionstabilization law were, for the most part, not effective at stimulating bank lending.But a second round of capital injections carried out under the early strengtheninglaw over the following two years did effectively stimulate bank lending,preventing a credit crunch. In addition, the effects of the bank recapitalizationprogram are shown to have been especially large for internationally active bankssubject to the Basel Accord’s capital adequacy regulations.

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