商业银行资本监管与金融风险传递  

Capital Regulation of Commercial Banks and Financial Risk Transfer

作　　者：吴东霖 赵玮 WU Dong-lin;ZHAO Wei

机构地区：[1]西安交通大学经济与金融学院,西安710065 [2]西北农林科技大学经济管理学院

出　　处：《金融论坛》2020年第8期38-51,共14页Finance Forum

基　　金：2019年度教育部人文社会科学研究青年基金项目(19YJC790195);第64批中国博士后科学基金面上资助项目(2018M643741)。

摘　　要：本文分析商业银行在全要素生产率和企业贷款违约率遭遇外生冲击并且受到更严格的资本监管时系统性金融风险传递的运作机制。结果发现,商业银行需要提高资本充足率以满足监管要求时,金融风险会通过银行间市场作用于金融体系;金融风险通过金融体系的传递和放大,使资本监管的顺周期性蔓延至整个实体经济,且不同水平的资本充足率要求在影响商业银行及宏观经济的程度上存在显著差异;小幅度的提升监管要求,有助于抑制系统性金融风险。This paper analyses the transfer mechanism of systemic risks when there are exogenous shocks and stricter regulations on commercial banks’ total factor productivity and loan default probability. The results show that, when commercial banks improve the capital adequacy ratio in accordance with regulation, financial risks would be transferred to the financial system through the inter-bank market. Transferred and amplified through the financial system, financial risks would spread the procyclicality of capital regulation to the whole real economy, and the impacts of various capital adequacy requirements are different on commercial banks and the macro economy. Modest regulation requirements could help control the systemic risks.

关 键 词：商业银行 巴塞尔协议 资本监管 系统性金融风险 金融风险传递 DSGE模型 

分 类 号：E52[军事—军事理论]