资本充足率监管对商业银行资本决策的影响——基于特许经营权价值的动态最优化  

The Influence of Capital Adequacy Ratio Regulation on Commercial Bank's Capital Decisions

作　　者：沈庆劼[1] 

机构地区：[1]天津财经大学,天津300222

出　　处：《上海金融》2011年第4期51-57,共7页Shanghai Finance

基　　金：国家自然科学基金项目(70873087);教育部人文社会科学研究项目(07JA790047)资助成果

摘　　要：中国自2004年开始实施资本监管,于2010年向新巴塞尔协议过渡。资本充足率监管对于银行行为的影响主要体现在资本规模决策与资产风险决策两个方面。近年来中国银行业的许多重要事件,无论是对不良资产的剥离还是对商业银行的注资,都能够从资本监管这一线索找到逻辑支撑。本文构建了一个随机动态模型,商业银行依据其对于特许经营权价值以及资本成本的权衡,确定最优资本水平,使银行价值最大化。基于该模型探讨了资本监管制度的出现对于银行资本决策的影响。China has implemented capital regulation since 2004,and began the transition to new Basel Accord in 2010.The influence of capital adequacy ratio regulation on the behavior of commercial banks are reflected in decision-making of capital scale and capital risk.Many important events that happened in China＇s banking sector in recent years,from the spin-off of non-performing assets to the capital injection of commercial banks,were around the mainline of capital regulation.The article develops a stochastic dynamic model,in which commercial banks trade-off between franchise value and capital cost to determine optimal capital level,thus maximize the value.Based on this model,the article discusses the influence of capital regulation regime on bank＇s capital decisions.

关 键 词：监管资本 经济资本 实际资本 特许经营权 

分 类 号：F832[经济管理—金融学]