中国商业银行资本亲周期特征差异的实证研究  

Empirical analysis on the capital pro-cyclical heterogeneity of Chinese commercial banks

作　　者：周欣[1] 李玮 杨雨[3] 唐兴华[1] 宋维[1] 

机构地区：[1]中央财经大学金融学院,北京100081 [2]中国信达资产管理公司托管重组部,北京100031 [3]中央财经大学管理科学研究所,北京100081

出　　处：《科学决策》2010年第8期23-27,87,共6页Scientific Decision Making

基　　金：中央财经大学研究生科研创新课题资助(2009013);中央财经大学"211工程"三期;中财121人才工程青年博士发展基金(QBG0701)

摘　　要：本文研究了不同类型商业银行资本亲周期性特征差异,通过选取中国30家商业银行2003至2007年的面板数据,运用两阶段加权最小二乘法估计了对商业银行缓冲资本变动进行解释的计量模型。引入区分不同银行规模的虚拟变量和体现经济周期的产出缺口变量,实证分析结果表明不同规模的商业银行资本亲周期特征表现出明显差异。此外,样本期间内中国商业银行的的变动还受到不良贷款率的影响,这表明风险管理水平会影响商业银行最优缓冲资本的选择。因此,对于商业银行而言,一方面要注意根据经济形势来调整缓冲资本,另一方面要加强自身风险管控能力;对于监管机构而言,在对商业银行进行资本充足率监管时应该了解不同资产规模商业银行的资本亲周期特征的差异,制定不同的监管政策。In order to study the capital pro-cyclical heterogeneity of commercial banks with distinctive characters,this paper analyses the panel data of 30 Chinese commercial banks,which dates back to 2003 until 2007,with two-stage weighted least squares method to estimate the coefficients of variables in the model. Introducing dummy variables indicating banks＇ size and open gap variable,which represents business cycle,empirical analysis implies that capital pro-cyclicity of different size banks appears apparently. Furthermore,the capital modification of Chinese commercial banks during the sampling period is affected by non-performed loan （NPL） as well. It means the capacity for risk management influences Chinese commercial banks＇ behavior of choosing optimal capital buffer. Thus,on one hand,commercial banks have to adjust the capital buffer to the macro economy,and enhance the ability of risk management. On the other hand,the regulatory authority should pay attention to the differences among commercial banks with different capital and make different regulations.

关 键 词：商业银行 亲周期性 异质性 

分 类 号：C936[经济管理—管理学]