房价波动、房贷规模与银行资本充足率  

Housing Price Volatility,Residential Mortgage Scale,and Bank Capital Adequacy

作　　者：况伟大[1] 王琪琳 

机构地区：[1]中国人民大学商学院,北京100872

出　　处：《金融研究》2017年第11期34-48,共15页Journal of Financial Research

基　　金：国家自然科学基金面上项目<房价波动与房贷违约风险>(批准号:71373276)的资助

摘　　要：次贷危机表明房价波动和房贷规模影响银行安全,但现有研究未将二者纳入银行资本充足率的理论和实证分析。本文构建了包含房价波动和房贷占比的资本充足率理论模型,并使用2005Q1-2015Q4中国189家商业银行及所在城市房价指数发现,房价时间趋势项对银行资本充足率有正影响,但房价波动项对资本充足率有负影响。因此,中国商业银行资本充足率在房价波动上具有顺周期性,需进行逆周期管理。其次,房价波动项对银行资本充足率具有非对称性影响,房价向上波动对银行资本充足率的负影响大于房价向下波动对银行资本充足率的正影响。据此,为加强逆周期管理,商业银行在房价向上波动时应多计提资本,在房价向下波动时应少计提资本。最后,房贷占比对资本充足率有负影响,表明房贷是中国商业银行的优质资产,适度提高房贷比重有利于降低银行风险。The literature does not take housing price volatility and residential mortgage risks into capital adequacy models, albeit the subprime crisis verifies that they affect bank safety. Hence, this paper combines housing price volatility and residential mortgage into optimal capital adequacy models. Employing the bank - level databases of China＇s 189 commercial banks and their germane city - level databases of housing price indices over 2005Q1 - 2015Q4, this paper finds that the trend terms of housing price positively affect capital adequacy ratio, but the volatility terms of housing price have negative effects on capital adequacy ratio. As a consequence, China＇s commercial banks have a salient pro - cycle nature in capital adequacy since 2005. Second, the volatility terms of housing price have an asymmetric effect on capital adequacy ratio. The effects of upward housing price volatility on capital adequacy ratio are greater than that of downward housing price volatility. Thus, to improve counter - cycle management, the commercial banks should have more capital at the presence of upward housing price movement while less capital at the presence of downward housing price movement. Lastly, the mortgage ratio negatively affects the capital adequacy ratio, which testifies that the residential mortgages are the relatively higher - quality assets in the commercial bank asset pool and could be increased by a proper ratio.

关 键 词：房价时间趋势项 房价波动项 房贷占比 资本充足率 

分 类 号：F299.23[经济管理—国民经济] F832.4