商业银行资本、流动性与周期性关系研究  

Research on the Relationship among Capital,Liquidity and Cyclicality of Commercial Banks

作　　者：王晓婷[1] 马斌 WANG Xiao-ting;MA Bin(School of Finance,Shanxi University of Finance and Economics,Taiyuan 030006,China)

机构地区：[1]山西财经大学金融学院,山西太原030006

出　　处：《山西大学学报（哲学社会科学版）》2020年第2期121-128,共8页Journal of Shanxi University(Philosophy and Social Science Edition)

基　　金：教育部人文社会科学研究青年基金项目“宏观杠杆率最适水平、动态调整和政策协调研究”(19YJC790148);山西省高等学校人文社会科学重点研究基地项目(201801025)。

摘　　要：全球银行业监管改革的持续推进和效果检验需考虑不同阶段监管政策间的协调性。采用部分调整理论模型和三阶段最小二乘估计方法对中国11家上市银行的资本比率和流动性比率之间的相互关系进行分析和检验,研究了在盈利能力和经济周期、资产周期及信贷周期三种周期性因素作用下银行资本与流动性的变化特征。研究发现,银行资本比率和流动性比率呈负相关关系,且通过资产周期的作用相互影响。盈利能力对银行资本和流动性无显著影响。银行杠杆比率具有顺资产周期特征,但杠杆比率对经济周期和信贷周期不敏感。资本充足率和流动性比率具有顺信贷周期特征,而净稳定资金比率具有逆信贷周期特征,杠杆和流动性可以通过资产周期相互影响。研究为建立协调有效的商业银行资本、流动性和系统性风险管理与监管体系提供了理论基础。The continuous advancement and effectiveness test of global banking regulatory reform needs to consider the coordination between regulatory policies at different stages. The partial adjustment theory model and the three-stage least squares( 3 SLS) estimation method were used to analyze and test the relationship between the capital ratio and liquidity ratio of China’s 11 listed banks. At the same time,the characteristics of changes in bank capital and liquidity under the three cyclical factors of economic cycle,asset cycle,credit cycle and profitability were studied. The study found that bank capital ratio and liquidity ratio were negatively correlated and interacted with each other through the role of the asset cycle. Profitability has no significant effect on bank capital and liquidity. The bank’s leverage ratio has the procyclicality of the asset cycle,but the leverage ratio is not sensitive to the economic cycle and credit cycle. The capital adequacy ratio and liquidity ratio have the procyclicality of a credit cycle,while the net stable fund ratio has the countercyclicality of credit cycle. Leverage and liquidity can affect each other through the asset cycle. This study provides a theoretical basis for the establishment of a coordinated effective commercial bank’s capital,liquidity,and systemic risk management and supervision system.

关 键 词：商业银行 资本 流动性 部分调整模型 周期性 

分 类 号：F832.2[经济管理—金融学]