统计研究 ›› 2018, Vol. 35 ›› Issue (4): 53-63.doi: 10.19343/j.cnki.11-1302/c.2018.04.005

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资本监管约束下银行行为调整的动态特征分析

钟永红 张卫国   

  • 出版日期:2018-04-25 发布日期:2018-04-25

The Dynamic Feature Analysis on Adjustments of Bank Behaviors under the Capital Adequacy Requirements

Zhong Yonghong & Zhang Weiguo   

  • Online:2018-04-25 Published:2018-04-25

摘要: 本文考虑巴塞尔协议Ⅲ对银行行为调整的影响,选用国内40家资本充足率达标的商业银行作为研究样本,以2007—2015年为样本期,建立联立方程组检验资本监管硬约束对银行资本、风险和绩效调整的短期效果。实证结果表明:资本监管要求的提高未能降低银行的实际风险,当面对资本监管压力时银行的主要应对策略是增加资本而非降低资产风险,资本充足的银行有更强的风险承担激励。超额贷款损失准备记入二级资本导致资本充足率和核心资本充足率表现出不同的调整特征。经济下行期货币政策的逆周期调控有助于银行通过增加“分母”平缓信贷风险的顺周期波动,但同时也增加了银行资本调整的难度。

关键词: 商业银行, 资本监管, 风险承担, 经营绩效

Abstract: Considering the effect of Basel Ⅲ on banks' behavior adjustments, this paper constructs a system of simultaneous equations to study the adjustments of banks' capital, risk and performance, by a dataset with 40 commercial banks in China from 2007 to 2015. The results show that the higher capital requirements don’t decrease the risk level of banks. When banks face the impact of capital regulatory pressures, they choose to increase capital rather than to reduce risk. The banks with more capital have greater desire to take risk. Excess loan loss provision could be included in tier Ⅱ capital, which leads the CAR and CCAR to show different adjustment features. Counter-cyclical adjustments of monetary policy in economic downturn help banks to relieve the pro-cyclical fluctuation of credit risk by increase asset size. Meanwhile, the adjustments of banks' capital become more difficult.

Key words: Commercial Bank, Capital Regulation, Risk Taking, Performance