资本充足率缺口下的银行资本和风险资产调整研究  

Adjustment of Capital and Risky Assets under the Pressure of Capital Adequacy Ratio Requirement

作　　者：范小云[1] 廉永辉[1] 

机构地区：[1]南开大学金融学院,300350

出　　处：《世界经济》2016年第4期145-169,共25页The Journal of World Economy

摘　　要：本文采用2004-2012年16家国有及股份制银行和72家城市及农村商业银行构成的年度非平衡面板数据,通过部分调整模型测算出资本充足率缺口,进而考察了资本充足率缺口下银行的资本和风险资产结构调整行为(以下简称"风险调整")。结果表明,资本补充能力强的银行主要进行资本调整,而资本补充能力弱的银行主要进行风险调整。进一步分析发现,在资本调整方面,资本补充能力强的银行既可以运用股权融资工具补充核心资本,也可以通过发行次级债补充附属资本,而资本补充能力弱的银行只能通过股权融资补充核心资本。在风险调整方面,资本补充能力强的银行主要调整不同类型风险资产之间的比例结构,而资本补充能力弱的银行主要调整资产总量和贷款总量。This paper classifies 16 state-owned and joint-stock banks （or 72 city commercial and rural commercial banks） as ones that have strong （ or weak） ability to supplement capital and analyze banks＇ capital supplement channel. We use an unbalanced panel data from 2004 to 2012 to calculate the capital adequacy gap ratio via a partial adjustment model, and to compare the adjustment behavior between these two sets of banks. Results show that the former set of banks mainly adjusts their capital, while the latter mainly adjusts the risky assets structure. Further analysis shows that the former set can adjust both their core capital and subsidiary capital, while the latter can only adjust their core capital; the former set adjusts their asset structure, while the latter adjusts both asset size and credit supply.

关 键 词：资本充足率缺口 资本补充能力 资本调整 风险资产结构调整 

分 类 号：F832.33[经济管理—金融学]