严监管背景下的银行资本调整与风险承担行为——兼论防范和化解金融风险的思路  

Capital Adjustment and Risk-taking of Banking under Strict Supervision:A Comment on the Ideas of Preventing and Resolving Financial Risks

作　　者：刘生福[1] 韩雍 Liu Shengfu;Han Yong(Monetary Policy Department of the Peoples'Bank of China,Beijing 100800,China;International Institute of China Construction Bank,Beijing 100033,China)

机构地区：[1]中国人民银行货币政策司,100800 [2]中国建设银行研究院,100033

出　　处：《南开经济研究》2020年第2期68-91,共24页Nankai Economic Studies

摘　　要：为守住不发生系统性金融风险的底线,中国在全球金融危机之后陆续出台各种金融严监管政策。银行作为我国金融体系的主体,研究其在严监管背景下的资本调整与风险承担行为,对于有效防范和化解金融风险具有重要意义。本文构建联立方程分析框架,基于128家商业银行2003—2014年的非平衡面板数据,实证检验监管压力对商业银行资本调整和风险承担行为的影响。研究发现:更加严格的资本监管诱发银行在高杠杆经营与高资产风险承担之间相互替代的监管套利行为;严监管政策约束了商业银行的表内信贷风险承担,却导致银行资产组合风险承担上升,商业银行在传统信贷业务与“非标”或表外资产业务之间相互转换;经济增速换挡与监管标准趋严“叠加”背景下,商业银行的监管套利动机更加明显,增大了防范和化解金融风险的难度。打好防范和化解金融风险攻坚战,必须坚持底线思维,稳步推进,短期要加强监管协调,形成“几家抬”的政策合力,中长期要深化体制机制改革,优化金融运行环境。China has introduced various strict financial supervision policies after the global financial crisis.Since Banking is the main body of China's financial system,studying its capital adjustment and risk-taking behaviors under the background of strict supervision is of great significance for effectively preventing and resolving financial risks.Based on the non-balanced panel data of 128 commercial banks from 2003 to 2014,this paper established a simultaneous equations framework to empirically test the impact of regulatory pressure on the capital adjustment and risk-taking behavior of commercial banks.It found that stricter capital regulation induces regulatory arbitrage through replacing the high leverage with high portfolio risk-taking.The strict regulatory policy has restrained the on-balance-sheet credit risk of commercial banks,while it has led to the increase of the portfolio risk.Commercial banks transformed the traditional credit to non-standard or off-balance-sheet assets.The motivation of commercial banks'regulatory arbitrage is more obvious as the coincidence of economic growth speed shift and stricter regulatory standards,which increases the difficulty of preventing and resolving financial risks.To combat financial risks,we must stick to the bottom line thinking and make steady progress.In the short term,we need to strengthen regulatory coordination and form a synergy of several policies,while in the medium and long term,we need to deepen institutional reforms and optimize the financial operating environment.

关 键 词：监管压力 资本调整 风险承担 监管套利 联立方程模型 

分 类 号：F832.3[经济管理—金融学]