基于周期效应评估的我国上市银行稳健性特征分析  

The Analysis of Soundness Characteristics of Listed Banks in China Based on the Evaluation of Cyclical Effects

作　　者：辜子寅[1] 

机构地区：[1]常熟理工学院数学与统计学院,江苏常熟215500

出　　处：《南方金融》2014年第7期24-30,共7页South China Finance

基　　金：国家社科基金项目<基于宏观审慎监管框架下的金融稳健统计的标准化研究>(项目编号:12BTJ003)的阶段性成果

摘　　要：商业银行资本缓冲水平的周期性特征对银行业经营活动的稳健性、金融体系的稳定性有较大影响。本文基于现有文献,构建了资本缓冲水平决定因素的理论框架,并利用2001-2012年我国上市银行数据进行了经验分析。研究结果表明:我国上市银行资本缓冲水平具有逆周期效应,这一逆周期效应具有稳健性和不对称性。因此,本文提出完善逆周期资本监管机制的重心在于建立资本补充的长效机制、对核心资本和风险资产实行双重监管和政策调节,基于宏观审慎监管原则针对不同经济周期和不同性质资产实施动态的资本监管。The cyclical characteristics of commercial bank capital buffers have a significant impact on the soundness of banking activities and the stability of financial system. Based on a detailed literature review, this paper constructs a theoretical framework of the determinants of capital buffers and tests it empirically using the data of listed banks in China from 2001 to 2012. The results show that capital buffers of listed banks in China are counter-cyclical and the counter-cyclicality is robust and asymmetric. In view of this, this paper concludes that for the enhancement of countercyclical capital regulatory mechanism, it is key to establish a long-term mechanism for capital replenishment, impose requirement and adjustment on both core capital and risk assets, and implement dynamic capital regulation based on the phases in the economic cycle and categories of assets under the principles of macro-prudential regulation.

关 键 词：宏观审慎监管 上市银行 资本缓冲水平 逆周期效应 资本监管 

分 类 号：F832.3[经济管理—金融学] F832.51