更高资本充足率要求能够有效防范金融风险吗?——基于双重差分法的再检验  

Does Higher Capital Adequacy Requirements Effectively Decrease Financial Risks?——A Reexamination Based on Difference-in-Difference Approach

作　　者：苏帆 于寄语 熊劼[1] Su Fan;Yu Jiyu;Xiong Jie

机构地区：[1]湖北经济学院金融学院 [2]湖北经济学院湖北金融发展与金融安全研究中心

出　　处：《国际金融研究》2019年第9期76-86,共11页Studies of International Finance

基　　金：国家社会科学基金一般项目“宏观审慎监管下银行风险承担与货币政策有效性研究”(18BJY244);湖北省教育厅人文社会科学一般项目“系统性风险测度及其网络传染机制研究”(18Y113);湖北经济学院青年基金项目“基于银行风险的资本充足率监管及其传导机制研究”(XJ201904);湖北经济学院科研培育项目“宏观审慎框架下区域金融风险管理政策研究”(PYYB201903)资助

摘　　要：本文立足于对我国资本充足率要求的防风险效果进行有效评估,基于69家商业银行2008-2017年的非平衡面板数据,采用双重差分法研究了更高资本充足率要求对银行个体风险和系统性风险的影响。实证结果表明,资本充足率要求的微观审慎和宏观审慎功能存在冲突,更高资本充足率要求能够抑制银行个体风险,但同时会诱发更大的系统性风险暴露和系统性风险溢出。传导渠道检验显示,风险承担渠道和杠杆率渠道都是诱发更大系统性风险的成因。其中,风险承担渠道是导致资本充足率要求宏观审慎功能失效的根源。强制提高资本充足率要求可能诱发银行“以邻为壑”的风险转移行为,导致个体风险向整个系统外溢。For the purpose of effectively evaluating the effect of risk prevention for capital adequacy requirements in China, this paper studies the influence of higher capital adequacy requirements on banks’ individual risk and systemic risk using the the difference-in-difference approach. The empirical research sample covers non-balanced panel data of 69 commercial Banks from 2008 to 2017. It is found that there is a conflict between micro-prudential and macro-prudential target.Higher capital adequacy requirements can really decrease banks’ risk-taking behaviors, but increase banks’ systemic risk exposure and systemic risk spillover. Results of transmission channels show that the directions of contagion effect for risk taking channel and leverage channel on systemic risk are both causes of systemic risk. What’s more, the effect of risk taking channel is obviously larger than leverage channel, which is the source causing macro-prudential invalidation of capital adequacy requirements. Higher capital adequacy requirements may induce more systemic risk spillover from banks’ beggar-thy-neighbor risk transfer behavior.

关 键 词：资本充足率要求 风险承担 系统性风险 风险转移 

分 类 号：F830[经济管理—金融学]