或有资本与银行风险承担——基于中国商业银行数据的实证研究  

Contingent Capital and Bank Risk-taking:An Empirical Study Based on Data of Chinese Commercial Banks

作　　者：郭桂霞[1] 于丽洁 GUO Guixia;YU Lijie(Institute of International Economy,University of International Business and Economics,Beijing 100029,China)

机构地区：[1]对外经济贸易大学国际经济研究院,北京100029

出　　处：《财经论丛》2020年第2期42-52,共11页Collected Essays on Finance and Economics

基　　金：国家自然科学基金项目(71673046);对外经济贸易大学惠园杰出青年学者项目(18JQ08);对外经济贸易大学创新团队项目(CXTD8-01);对外经济贸易大学研究生科研创新基金项目(201819).

摘　　要：本文以2013~2017年中国商业银行为研究样本,检验了发行或有资本对银行风险承担行为的影响。研究发现:发行或有资本能够显著降低我国商业银行的风险承担水平;从整体上来看,或有资本的发行规模对银行的风险承担行为没有显著影响,但将银行杠杆率的影响纳入考虑后发现,高杠杆银行增加或有资本发行规模时具有显著的风险抑制效应,而低杠杆银行则相反。因此,应对不同杠杆率的银行发行或有资本的规模进行分类指导。Based on the dataset of Chinese commercial banks from 2013 to 2017,this paper empirically investigates the impact of the contingent capital issuance on banks’risk-taking incentives.Firstly,contingent capital issuance can significantly reduce the risk-taking behavior of Chinese commercial banks.Secondly,the overall impact of the contingent capital issuance quantity on banks’risk-taking is not significant,but once the impact of the bank leverage is taken into consideration,we find that increasing the contingent capital issuance quantity is conducive to curbing highly leveraged banks’risk-taking incentives,but the effect is opposite for lowly leveraged banks.Therefore,the contingent capital issuance activities of banks should be guided differently based on their leverage level differences.

关 键 词：商业银行 或有资本 风险承担 杠杆率 

分 类 号：F832[经济管理—金融学]