中国上市银行资本缓冲周期性研究——基于2005—2014年季度数据的实证分析  

Research on the Cycle of Capital Buffer for Chinese Listed Banks:The Empirical Analysis Based on the Quarterly Data of 2005—2014

作　　者：翟光宇[1] 刘萌萌[1] 

机构地区：[1]东北财经大学金融学院,辽宁大连116025

出　　处：《产业经济研究》2016年第1期92-99,共8页Industrial Economics Research

基　　金：国家自然科学基金项目(71302055);中国博士后科学基金面上资助项目(2013M541235);辽宁省社会科学规划基金项目(L14CJY044);东北财经大学博士后科研项目(BSH201502);东北财经大学2014年度校级教学改革研究项目(YY14002)

摘　　要：从《巴塞尔协议Ⅲ》设立逆周期资本缓冲的原因出发,分析了逆周期资本缓冲计提的参考指标GAP。在论述理论的基础上,结合实际计算了我国2005—2014年34个季度数据的GAP,并将其与上证所A股平均市盈率、70个大中城市新建商品住宅价格指数相对比,结果显示GAP在我国有一定的适用性。实证分析了我国上市银行资本缓冲的周期性,结论表明我国上市银行的资本缓冲在样本期内具有显著的顺周期性。股份制银行和三家城商行资本缓冲的顺周期性更为显著,国有银行更依赖于次级债和贷款损失准备对资本缓冲进行调整。根据研究结论,认为我国监管当局应加快出台明确的逆周期资本缓冲的建立机制。This article began with the reasons for countercyclical capital buffer on ＂Basel Ⅲ＂, and analyzed the GAP, which is reference index of countercyclical capital buffer. With real data, GAP of 34 seasonal data from 2005 to 2014 in China was calculated, and compared with the SSE A share average p / E ratio and new residential price index of 70 large and medium-sized city, from which we reached the conclusion that GAP measured by a surge in credit risks is applicable in China. In addition, the empirical analysis of the cyclicality of bank capital buffers was studied, the empirical results of which showed that Chinag listed banks capital buffer was significantly procyclical in the sample period. Furthermore, it was found that the procyclieality in joint-stock banks and three city commercial banks capital buffer was more significant compared with that of the state-owned banks and the low capital adequacy ratio of listed banks, which rely more on sub debt. The state- owned banks can also adjust the capital buffer through the provision for possible loan loss. According to the conclusions of this study, this paper argues that our regulatory authorities should accelerate the introduction of clear eountercyclical capital buffer mechanism.

关 键 词：资本缓冲 巴塞尔协议Ⅲ 逆周期性 GAP 上市银行 

分 类 号：F830.33[经济管理—金融学]