资本缓冲与银行资产配置行为研究——来自跨国银行业的经验证据  

Capital Buffer and Banks' Asset Allocation Decisions——Evidence from Multi-national Banking Industries

作　　者：熊启跃[1] 曾刚[2] 

机构地区：[1]中国银行国际金融研究所 [2]中国社科院金融研究所银行研究室

出　　处：《财贸经济》2015年第8期59-73,共15页Finance & Trade Economics

基　　金：第55批中国博士后科学基金"资本监管宏微观效应研究"面上项目(2014M550989)的资助

摘　　要：随着巴塞尔资本协议Ⅲ在全球范围内的实施,新监管环境下商业银行的行为调整特征及其对实体经济产生的影响得到了理论界和实务界的高度关注。本文基于1998-2012年全球350家商业银行的经验数据,采用系统GMM等估计方法实证检验了资本缓冲与银行资产配置行为间的关系。实证结果表明:资本缓冲与银行信贷行为呈现负相关关系,与证券投资行为呈现正相关关系;高资本缓冲、高资本质量(核心资本比例较高)的银行资本缓冲与信贷行为(证券投资)的负(正)相关关系更为明显。本研究说明巴塞尔Ⅲ的实施将减弱银行信贷投放能力、迫使银行将资产更多地配置在证券投资领域。监管当局在实施巴塞尔Ⅲ的过程中,应采取有效措施减小其对实体经济带来的外溢效应。With the worldwide implementation of ＂Basel Capital Accord Ⅲ ＂, characteristics of commercial banks＇ behavior changes in new supervision environment and relative influences on changes of banks＇ asset allocation decisions have drawn attention from theoretical and practical cycles. Based on data of 350 commercial banks from 1998 to 2012, this paper examines the relationship between capital buffer and banks＇ asset allocation decisions. The results show that.. （1） capital buffer is negatively related to banks＇ loan behaviors~ （2） for banks which own higher capital amount and quality, their loan injection behaviors are more sensitive to changes of capital buffer. Our research shows that the implementation of ＂Basel Capital Accord Ⅲ＂ weakens banks＇ credit ability and makes banks allocate more of their assets in security fields. The regulatory authority should adopt efficient measures to relief the spillover effects on real economy.

关 键 词：资本缓冲 系统GMM估计信贷行为 证券投资 

分 类 号：F831.2[经济管理—金融学]