宏观审慎评估体系对商业银行风险的影响研究  

Research on the Influence of Macro-Prudential Assessment System on Commercial Banks Risk

作　　者：范云朋 胡滨[2] 郑联盛[1] FAN Yunpeng;HU Bin;ZHENG Liansheng(Chinese Academy of Social Sciences,100710;University of Chinese Academy of Social Sciences,102488)

机构地区：[1]中国社会科学院金融研究所,100710 [2]中国社会科学院大学,102488

出　　处：《财贸经济》2024年第2期55-71,共17页Finance & Trade Economics

基　　金：中国社会科学院学科建设“金融监管学”重点学科登峰计划;中国社会科学院马克思主义理论研究和建设工程重大课题“防范化解重大金融风险——基于跨市场传染的分析”(2022MGCZD011)。

摘　　要：宏观审慎评估体系作为我国宏观审慎政策框架的核心组成部分,主要监管对象是银行业金融机构,其有效性问题备受关注。本文以宏观审慎资本充足率及相关的广义信贷作为核心研究对象,基于2010一2021年中国银行业非平衡面板数据,实证分析宏观审慎评估体系对商业银行风险的影响。研究发现:作为否决项,宏观审慎资本充足率监管要求使商业银行资本充足率明显提升,风险显著下降,相比于微观资本监管,其对商业银行的约束作用更明显;作为“隐形”否决项,广义信贷监管同样有助于降低商业银行风险。异质性分析发现,宏观审慎评估体系对城商行与农商行的风险约束更加显著。补充性检验一方面通过双重差分模型进一步证明了宏观审慎评估体系会促使商业银行提高资本充足率和降低广义信贷水平,进而降低商业银行风险;另一方面通过XGBoost决策树模型进行反事实分析,估计宏观审慎与微观监管在资本充足率上的差距,结果表明,宏观审慎资本充足率发挥了正向风险约束功能。本文深入剖析了宏观审慎评估体系的核心内容和理论机制,为其政策有效性提供了经验证据,有利于进一步强化宏观审慎监管并推动商业银行稳健发展。The Macro-Prudential Assessment(MPA)system,as an important component of China's macroprudential policy framework,mainly regulates commercial banks,and its effectiveness has received much attention.Based on micro-prudential regulation,the MPA system is mainly improved in two aspects:the prudential capital adequacy ratio and broad credit,which are also two significant risk transmission channels for commercial banks.This paper empirically analyzes the impact of the MPA system on the risk of commercial banks based on unbalanced panel data of Chinese commercial banks from 2010 to 2021.The research findings are as follows.Firstly,the regulatory requirements of the prudential capital adequacy ratio have significantly increased the actual capital adequacy ratio of commercial banks,and the credit risk of banks has significantly decreased.Compared with micro-prudential capital regulation,its constraints on commercial banks are more significant.It will make banks that exceed the regulatory requirements of actual capital adequacy ratio continue to hold more capital,which is conducive to reducing bank risk fluctuations.Secondly,broad credit regulation also helps to reduce the risk of banks.Thirdly,heterogeneity analysis found that the risk-constraint effect of the MPA system on banks with a small asset scale is more significant.Finally,the complementary test further proves that the MPA system will promote commercial banks to improve the capital adequacy ratio and reduce the broad credit level,and help to restrain the risk of banks.Meanwhile,the counterfactual analysis method was used to estimate the gap between macro-prudential and micro-prudential capital adequacy ratio,and the result shows that macroprudential capital adequacy ratio has played its due effect.The marginal contributions of this paper lie in three aspects.Firstly,this paper,by exploring the relationship between the macro-prudential capital adequacy ratio and broad credit,offers new insights for enhancing our understanding of China's macro-prudential regulation

关 键 词：宏观审慎评估体系 商业银行风险 资本充足率 广义信贷 

分 类 号：F832.1[经济管理—金融学]