资本充足率变动对银行信贷行为的影响  

Effect of Change in Bank's Capital Adequacy Ratio on Loan Growth

作　　者：曾刚[1,2] 李广子[1] 谢玮[3] 

机构地区：[1]中国社会科学院金融研究所 [2]中国社会科学院银行研究室 [3]中国社会科学院研究生院

出　　处：《金融评论》2011年第4期18-27,123,共10页Chinese Review of Financial Studies

摘　　要：基于Berrospide and Edge(2010)和巴塞尔委员会宏观经济评估小组(MAG,2010)的最新研究,利用上市银行面板数据,本文考察了我国资本充足率水平与银行信贷增长之间的关系。本文发现,银行资本充足率水平对其贷款行为产生了显著的影响,但是这一影响存在一定的滞后期。数据测算表明,资本充足率变动将在3个季度后对银行的贷款行为产生显著影响,在6个季度后这一影响的程度达到最大值。资本约束对信贷增长影响的这种滞后效应对于不同规模银行和不同时间段样本均成立,但幅度略有差别。在此基础上,本文对我国商业银行的发展及监管问题提出了若干政策建议。Based on Berrospide and Edge(2010) and Basel Committee Macroeconomic Assessment Group's Interim Report(2010),using a panel data of listed banks,this paper investigates the relationship between bank's capital adequacy ratio(CAR) and its loan growth.We find that,bank's CAR has a significant delayed effect on its loan growth.Specifically,a change in bank's CAR will lead to a positive change in bank's loan growth after 3 quarters,and this effect will reach its maximum after 6 quarters.CAR's delayed effect exists in samples with different scales and in different years.Based on above analysis,this paper proposes some policy suggestions for both banks and their regulations.

关 键 词：银行 资本充足率 信贷 监管 

分 类 号：F832.4[经济管理—金融学] F832.2F224