资本充足率监管对银行风险行为的影响  

Impacts of capital adequacy regulation on risk-taking behaviors of banking

作　　者：张宗益[1] 吴俊[1] 刘琼芳[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《系统工程理论与实践》2008年第8期183-189,共7页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金杰出青年科学基金项目(70525005)

摘　　要：基于银行持续经营的动态特征,研究了资本充足率监管影响商业银行风险行为的内在机理,并对《商业银行资本充足率管理办法》实施后我国商业银行进行实证分析.研究结果表明:银行最优决策的风险资产占比是资本金比例的减函数,监管机构通过提高资本充足率要求可以影响银行的信贷风险偏好,降低银行风险行为的动机;《办法》实施后,我国商业银行的资本变动与风险变动之间存在显著的负相关关系,提高资本比例可以显著影响银行风险行为.Based on the dynamic nature of banks＇ continuously operating, this paper examines the effect of capital adequacy requirement on bank risk-taking behavior, and empirically investigates the impact on Chinese banking during the first years the capital standard is in effect. The optimal ratio of risk assets is decreasing while the capital ratio increases, and an increase in capital-to-asset ratio reduces the risk-taking behavior. The empirical evidences suggest that changes in capital positively associate the changes in risk, and increasing capital ratio is effective in reducing portfolio risk.

关 键 词：资本充足要求 商业银行 风险行为 

分 类 号：F830[经济管理—金融学]