关键词: 刚性兑付, 最优资本结构, 违约风险, 资本监管

Abstract:

In order to stabilize employment， Chinese governments usually provide the guaranteed bailout （i.e.， rigid redemption） when state-owned enterprises encounter financial difficulties. The consensus is that， the rigid payment leads to the expansion of implicit debt of local governments. Therefore， its termination would restrain the debt risk. However， since state-owned enterprises are the main demanders of bank credit resources， terminating rigid payment could destabilase the banking system. Thus， how to prevent bank risks in the process of breaking rigid payment is an important question， but academia has not fully explored this problem.The rigid redemption is introduced into the model of bank capital structure and default risk and attempts to answer above question.And the relationship between the rigid payment and the bank default risk is studied in two cases where the banks’ capital structure is unadjustable and adjustable， respectively. Furthermore， standardized and internal ratings-bases regulator approaches are applied to our model and how effectively these regulations combat the incentive problems introduced by rigid payment is examined.The results show that　（1） The bank default risk will increase with the weakening of rigid payment when the capital structure is fixed. （2） When the capital structure is adjustable， there is a reverse U-shaped relationship between the bank default risk and the rigid payment. （3） The capital regulation based on the standardized approach can effectively restrain the moral hazard for the bank at the time of a capital structure decision and reduce the default risk of banks in the process of breaking the rigid payment. However， the capital regulation requirements based on the internal rating approach will be weakened due to the reduction of the default probability of corporate debt under the rigid payment.

Key words: rigid redemption, optimal capital structure, default risk, capital regulation