资本监管约束下银行行为调整的动态特征分析  

The Dynamic Feature Analysis on Adjustments of Bank Behaviors under the Capital Adequacy Requirements

作　　者：钟永红 张卫国[2] Zhong Yonghong;Zhang Weiguo

机构地区：[1]华南理工大学经济与贸易学院金融系 [2]华南理工大学工商管理学院

出　　处：《统计研究》2018年第4期53-63,共11页Statistical Research

基　　金：国家社会科学基金一般项目"我国银行业系统流动性风险的防控机制研究"(14BJY190);中国国家留学基金委资助"2017年青年骨干教师出国研修项目"(201706155077);中央高校基本科研业务费资助项目"我国证券市场系统流动性风险的防控机制研究"(2015JCRC03);广东省哲学社会科学规划项目"协同供给侧结构性改革的货币政策研究"(GD16CYJ09)资助

摘　　要：本文考虑巴塞尔协议Ⅲ对银行行为调整的影响,选用国内40家资本充足率达标的商业银行作为研究样本,以2007—2015年为样本期,建立联立方程组检验资本监管硬约束对银行资本、风险和绩效调整的短期效果。实证结果表明:资本监管要求的提高未能降低银行的实际风险,当面对资本监管压力时银行的主要应对策略是增加资本而非降低资产风险,资本充足的银行有更强的风险承担激励。超额贷款损失准备记入二级资本导致资本充足率和核心资本充足率表现出不同的调整特征。经济下行期货币政策的逆周期调控有助于银行通过增加"分母"平缓信贷风险的顺周期波动,但同时也增加了银行资本调整的难度。Considering the effect of Basel Ⅲ on banks ＇behavior adjustments,this paper constructs a system of simultaneous equations to study the adjustments of banks＇ capital,risk and performance,by a dataset with 40 commercial banks in China from 2007 to 2015. The results show that the higher capital requirements don＇t decrease the risk level of banks. When banks face the impact of capital regulatory pressures,they choose to increase capital rather than to reduce risk. The banks with more capital have greater desire to take risk.Excess loan loss provision could be included in tier Ⅱ capital,which leads the CAR and CCAR to show different adjustment features. Counter-cyclical adjustments of monetary policy in economic downturn help banks to relieve the pro-cyclical fluctuation of credit risk by increase asset size. Meanwhile,the adjustments of banks＇ capital become more difficult.

关 键 词：商业银行 资本监管 风险承担 经营绩效 

分 类 号：C812[社会学—统计学]