国际清算银行-全系统股利限制：证据与理论（英）-2023.10-47页_1mb

System-Wide Dividend Restrictions: Evidence and Theory

This report analyzes the ECB's system-wide dividend restriction (SWDR) recommended in March 2020 during the COVID-19 crisis and its broader implications. It combines empirical evidence with a theoretical macro-banking DSGE model to assess the effects on lending, bank valuations, welfare, and general equilibrium outcomes.

Key Findings from Empirical Evidence

• The ECB SWDR led to a significant increase in bank lending by approximately 5% for institutions that suspended dividend payments, compared to those that did not. This effect was most pronounced in the quarter following the announcement.
• Bank stock prices experienced a moderate and temporary negative impact, largely due to the unanticipated nature of the restriction, but recovery was swift once the dividend ban was lifted.
• Market participants viewed the SWDR as a deferral of dividends rather than a permanent cut, with evidence suggesting compensation through higher payouts post-lift.

Theoretical Model and General Equilibrium Effects

• A quantitative DSGE model confirms that SWDRs sustain lending and economic activity by preserving bank capitalization, mitigating the adverse effects of the COVID-19 shock.
• Welfare gains are substantial, particularly in response to financial shocks, though they are tied to bank lending and capital buffer usage.
• Simulation results show that combining SWDRs with full use of capital buffers yields minimal additional benefits, supporting the measure's effectiveness.

Optimal Dividend Prudential Target (DPT)

• An optimal SWDR, or dividend prudential target (DPT), maximizes social welfare through high enforcement and countercyclical responsiveness (ρ* = 29).
• This rule induces welfare gains of up to 0.3% permanent consumption equivalent, being most effective for financial shocks due to regressive borrowing constraints.

Conclusion

System-wide dividend restrictions are effective macroprudential tools for sustaining lending and stabilizing the economy during crises. When optimally designed, they enhance welfare by countering financial shocks.