中国上市银行资本缓冲的逆周期性研究:1998-2011  

The Counter - Cyclicality of Commercial Bank Capital Buffers:Evidence from the Chinese Listed Banks

作　　者：蒋海[1] 罗贵君[1] 朱滔[1] 

机构地区：[1]暨南大学经济学院,广东广州510632

出　　处：《金融研究》2012年第9期34-47,共14页Journal of Financial Research

基　　金：教育部人文社科基金(编号08JA790056);广东省重点研究基地重大项目(09JDXM79009);中央高校基本科研业务费专项资金资助项目(11JYB3001);暨南大学跨越计划的资助

摘　　要：最优资本缓冲的持有或计提,是商业银行降低经营成本、有效防范风险的重要手段,因而其周期性问题研究具有重要现实意义。本文以中国16家上市银行为研究样本,采用1998年至2011年的非平衡面板数据,对商业银行资本缓冲的周期性进行了研究,结果表明,中国上市银行的资本缓冲具有显著的逆周期性,《巴塞尔资本协议》的实施和货币当局的逆周期货币政策强化了资本缓冲的逆周期性特征。The optimization of capital buffer is important for commercial banks to minimize operation cost and to restraint risk - taking behavior, so its character of cyclicality has been highlighted after recent global financial crisis. Using an unbalanced panel data from 1998 to 2011 of the Chinese listed commercial banks, this paper tests the counter - cyclicality of capital buffers of these 16 banks. The empirical results show that there is a sig- nificant counter - cyclicality for the Chinese listed banks to hold capital buffers, Basel Accord and counter - cy- clical monetary policy enhance this character.

关 键 词：资本缓冲 逆周期 GMM估计 

分 类 号：F832.3[经济管理—金融学] F832.51F224