中国商业银行盯住市场的资本充足率与宏观经济周期:1996～2004年  

Mark - to - Market Capital Ratio of Chinese Banks and Macroeconomic Volatility： 1996~2004

作　　者：石晓军[1] 李孟娜[1] 

机构地区：[1]北京航空航天大学经济管理学院

出　　处：《数量经济技术经济研究》2007年第7期63-72,共10页Journal of Quantitative & Technological Economics

基　　金：高校博士点基金资助;编号:2005006033

摘　　要：新巴塞尔协议的亲周期问题对以银行为主要融资途径的国家有着重大影响。本文利用Pennacchi等提出的盯住市场的商业银行资本比率模型和Bank—scope中我国商业银行数据，分析了1996～2004年期间我国商业银行盯住市场资本充足率与宏观经济周期的关系。研究表明盯住市场的商业银行资本比率是一个宏观经济领先指标，具有积极的、理性的超前反应能力；研究还表明我国对国有商业银行的历次注资是反周期的有效宏观经济管理行为，同时提出了应对亲周期问题的政策建议。Procyclicality problem of The New Basel Accord really matters for those bank - centered countries. This paper investigated the relationship between mark - to - market capital ratio of Chinese banks and macroeconomic volatility during 1996～2004. We applied the so - called hedonic model to get mark - to - market capital ratio based on the methods mainly proposed by Pennacchi. The data comes from Bankscope database. It is showed that mark- to- market capital ratio model is rational and forerunning, and it can be taken as a leading indicator during 1996～2004, which implies that Chinese government had successfully controlled macro- economic volatility through recapitalizing state - owned commercial banks. For the pressing procyclicality problem in China, we proposed three pieces of suggestions.

关 键 词：商业银行 资本充足率 亲周期性 

分 类 号：F832[经济管理—金融学]