资本约束对商业银行风险偏好的影响—来自中部某省份若干家商业银行的实证检验  

Effect of Capital Supervision on Risk Preference of Bank—Empirical Tests from Banks in the Central Province of China

作　　者：马理[1] 熊健[2] 

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072 [2]广州大学数学与信息科学学院,广东广州510006

出　　处：《数理统计与管理》2012年第6期1125-1133,共9页Journal of Applied Statistics and Management

基　　金：国家自然科学基金(70573079)资助;武汉大学人文社科基金(20110202)资助

摘　　要：本文以滞后一期的自回归模型为基础,综合运用统计描连、单位根检验、协整检验等技术,针对2002年至2006年中部某省份若干家商业银行的数据,实证检验了资本约束政策的实施对商业银行风险偏好的影响。结论显示:资本约束对商业银行的风险行为选择的影响巨大,但是资本软约束会强烈抵消资本约束带来的正效应;中小型银行比大型银行更具有政策的敏感度,中国的商业银行体系应当进一步进行深入的市场经济改革。本文的创新在于:建立了一个信贷行为偏好指数来刻画商业银行的风险偏好,并把资本约束的实施与资本约束的软化引入计量模型,分别进行了总量检验与分类检验,从而得到了有中国特色的分析结论与政策建议。This paper analyzes empirically the effects of capital supervision on the risk preferences of banks with the auto-regression model and the data of the central province of China from 2002 to 2006. It concludes that capital requirements have a great effect on the risk behavior choice of commercial banks, however loose capital requirements offset the positive effect produced by capital requirements; small and medium-sized banks are more sensitive to policies than large banks; China＇s commercial banking system needs further deep reform of market economy. It innovates to create a preference index of credit behavior to describe the risk preference of commercial banks, introduce the implementation and loosening of capital requirements into econometric model, and give the aggregate test and classified test.

关 键 词：资本充足性约束 商业银行 风险偏好 实证检验 

分 类 号：O212[理学—概率论与数理统计] F832[理学—数学]