银行缓冲资本调节与资产风险变化——基于中国商业银行的实证研究  

Adjustments in Capital Buffers and Changes in Asset Risks of Banks——An Empirical Study of Chinese Commercial Banks

作　　者：李海洪[1] 李刚[1] 胡金[1] 

机构地区：[1]北京化工大学经济管理学院

出　　处：《金融论坛》2014年第4期8-13,共6页Finance Forum

基　　金：国家自然科学基金项目(71171012)支持

摘　　要：本文基于中国52家商业银行2007～2012年的非平衡面板数据,运用最小二乘法和广义矩估计(GMM)研究方法,对中国银行业缓冲资本调节与资产风险变化的关系进行实证研究。中国银行业缓冲资本调节与资产风险变化总体上互为正相关关系,对于缓冲资本水平低于4%的银行,两者之间则呈现负相关关系。因此,对于缓冲资本水平较高的银行,可以考虑适当增加风险资产,以提高资本的利用率;对于缓冲资本低于4%的银行,其缓冲资本具有一定的顺周期性,建议资本监督部门以4%缓冲资本水平为参考,对中国银行业的缓冲资本水平进行具体的指导。Based on the unbalanced panel data of Chinese 52 commercial banks during 2007～2012, this paper uses the least squares method and GMM to analyse the relationship between adjustments in capital buffers and changes in asset risks of Chinese banks. It is found that the adjustments are positively correlated overall with the changes, however, as for the banks with less than 4% capital buffers, the adjustments are negatively correlated with the changes. Therefore, the banks with high level of capital buffers can increase their risk assets to improve the utilization of capitals; as for the banks with less than 4% capital buffers, their capital buffers are pro-cyclical. It is suggested that regulatory institutions use 4% capital buffers as an instruction for the capital buffer level of Chinese commercial banks.

关 键 词：缓冲资本水平 缓冲资本调节 资产风险变化 巴塞尔协议Ⅲ 

分 类 号：F832.33[经济管理—金融学] F224