附加资本监管抑制了银行的系统性风险吗?——基于中国国内系统重要性银行的实证分析  

Has the Regulation of Additional Capital Suppressed the Systemic Risk of Banks?——Empirical Analysis Based on China's Domestic Systemically Important Banks

作　　者：魏琪 尹庆国 曾海曦 Wei Qi;Yin Qingguo;Zeng Haixi

机构地区：[1]重庆工商大学金融学院 [2]中国建设银行重庆市分行 [3]墨尔本大学商学院

出　　处：《工程经济》2024年第10期19-29,共11页ENGINEERING ECONOMY

基　　金：重庆市教育委员会人文社会科学研究重点项目“系统重要性银行附加资本监管机制研究”(21SKGH101);重庆市社会科学规划项目“新一轮银行业双向开放的风险及防范研究”(2022NDYB40)。

摘　　要：本文采用GARCH-CoVAR模型测算银行的系统性风险,并采用中国国内系统重要性银行2011-2021年的数据实证研究附加资本监管对银行系统性风险的影响。研究发现,附加资本监管能有效抑制银行的系统性风险,且经济政策越不确定、直接融资市场越发达、银行家对经济发展前景越乐观或货币政策环境越宽松,附加资本监管对银行系统性风险的抑制作用越强。本文拓展了关于系统重要性银行监管的文献,对进一步优化附加资本监管、防范银行系统性风险具有一定的启示。This paper uses the GARCH-CoVAR model to measure the systemic risk of banks,and empirically studies the impact of additional capital regulation on the systemic risk of banks by using the data of China's domestic systemically important banks from 2011 to 2021.It is found that additional capital regulation can effectively inhibit the systemic risk of banks,and the more uncertain the economic policy,the more developed the direct financing market,the more optimistic the bankers are about the economic development prospect or the looser the monetary policy environment,the stronger the inhibitory effect of additional capital on the systemic risk of banks.This paper expands the literature on the supervision of systemically important banks,and has some implications for further optimizing the supervision of additional capital and preventing systemic risks of banks.

关 键 词：附加资本监管 银行系统性风险 GARCH-CoVAR模型 

分 类 号：F83[经济管理—金融学]