金融危机对资本充足率监管与银行风险承担激励的影响:基于我国上市银行的实证比较  

An Empirical Analysis for the Impact of Financial Crisis on Capital Adequacy Ratio Regulation and Risk-Taking in Bank Sector:Evidence from China

作　　者：蒋海[1] 王丽琴[2] 

机构地区：[1]暨南大学经济学院金融系 [2]暨南大学经济学院

出　　处：《产经评论》2011年第4期67-76,共10页Industrial Economic Review

基　　金：教育部人文社科基金(编号08JA790056);教育部留学回国人员启动基金;广东省社科基金(编号07E04);广东省人文社科重点基地重大项目(09JDXM79009)

摘　　要：运用局部调整模型和三阶最小二乘法(3SLS),分析了金融危机如何影响资本充足率监管与商业银行的风险承担激励之间的关系,并首次分析了金融危机发生前后我国上市银行在面临资本监管压力下资本水平与风险水平的调整。结果表明,金融危机强化了银行的资本充足率监管效果,但也增强了银行的风险承担激励,这与监管当局试图通过资本充足率监管达到维持银行系统稳定性的初衷相违背。此外,金融危机的发生没有显著影响银行资本调整与风险调整之间的关系。Using a simultaneous equations framework and a three stage least squares （3SLS）, this study investigates the impact of recent financial crisis on capital adequacy ratio regulation and risk - taking of commercial banks in China. Meanwhile, we analyze how the commercial banks adjust their capitals and risk - taking under pressure of capital regulation before and after financial crisis. Empirical results show that： （1）finan- cial crisis enhances the effect of capital adequacy ratio regulation and raises the risk - taking level of banks ; （2） financial crisis doesn＇ t significantly affect the relationship between adjustment of capital and adjustment of risk - taking.

关 键 词：金融危机 资本充足率监管 风险承担 上市银行 

分 类 号：F120.4[经济管理—世界经济]