中国商业银行杠杆率的顺周期性分析  

An Analysis of the Pro-Cyclicality of Chinese Commercial Banks' Leverage Ratios

作　　者：吴国平[1] 

机构地区：[1]浙江金融职业学院金融系

出　　处：《金融论坛》2015年第6期29-36,共8页Finance Forum

基　　金：2014年浙江省哲学社会科学发展规划课题(14NDYD10YB);浙江省金融教育基金会2013年度重点课题(2013Z06)资助

摘　　要：本文实证分析中国商业银行杠杆率与经济周期的关系。结果表明,2004~2013年,中国商业银行的杠杆率具有显著顺周期性,且金融危机时期顺周期性更强,其主要原因在于银行杠杆率的分子分母与经济周期之间的显著相关性,并且经济周期对杠杆率分母的正向影响大于分子;规模越大、流动性越高的银行,杠杆率越高;盈利能力越好、存贷比越大的银行,杠杆率则越低。This paper presents an empirical analysis of the relationship between the leverage ratios of Chinese commercial banks and the economic cycle.The results of the paper shows that,during 2004-2013,the leverage ratios of Chinese commercial banks are significantly pro-cyclical,and the pro-cyclicality is more significant during financial crisis,which is mainly due to the significant correlation between the numerator/denominator of leverage ratio and the economic cycle,and the positive impact of economic cycle on the denominator of leverage ratio is greater than that on the numerator; the greater the size and liquidity of banks,the higher the leverage ratios are; the higher the profitability and loan-deposit ratio of banks,the lower the leverage ratios are.

关 键 词：商业银行 巴塞尔协议Ⅲ 银行杠杆率 监管工具 资本补充机制 

分 类 号：F832.2[经济管理—金融学]