杠杆率顺周期性及其对银行资产负债表的影响——基于我国161家银行的实证分析  

The Procyclicality of the Leverage Ratio and the Adjustment of Banks' Balance Sheets——An Empirical Analysis of 161 Banks in China

作　　者：王飞[1] 李雅楠[1] 刘文栋[1] 

机构地区：[1]南开大学经济学院,天津300071

出　　处：《上海金融》2013年第10期33-40,共8页Shanghai Finance

摘　　要：金融危机之后,学者与监管机构加大了对杠杆率相关研究的关注。本文使用我国1997-2011年161家微观银行数据实证研究杠杆率的顺周期性及杠杆率对银行资产负债表影响,实证结果表明:我国银行的杠杆率具有顺周期性,且上市银行的顺周期性更加明显;杠杆率对银行的资产和负债的扩张具有支撑作用,即杠杆率支撑了银行资产负债表的扩张,从侧面验证了杠杆率的顺周期性。进一步对基本回归结果通过差分GMM和系统GMM进行稳健性分析,结果依然稳健。该结论的政策启示为:应关注杠杆率自身的顺周期性并没有缓解资本充足率的顺周期性;加大对杠杆率变动的监管;建立逆周期的相关政策。The academics and regulators have put more attention on the research of leverage ratio since the financial crisis. This paper uses microscopic data of 161 bank in 1997-2011 to empirically study the procyclicality of leverage ratio and its impact on banks' balance sheets. The empirical results show that: the leverage ratio of China's banks is procyclical, and it is even more obvious in listed banks; the leverage ratio has a supporting role in the expansion of banks' assets and liabilities, that is to say, the leverage ratio supports the expansion of banks' balance sheets, which verifies the procyclicality of leverage ratio. The article conducts a further robustness analysis of the basic regression results with differential GMM and system GMM, and the results remain robust. The policy implications of this conclusion are that: the procyclical leverage ratio cannot ease the procyclicality of capital adequacy ratio; the regulators should strengthen the supervision of leverage ratio changes; counter-cyclical policies should be built.

关 键 词：杠杆率 顺周期 商业银行 资产负债表 

分 类 号：F069[经济管理—政治经济学]