资本监管压力下商业银行目标资本充足率与资本结构动态调整

Capital Requirements, Banks’ Target Capital Ratios and Capital Structure Adjustment

当前关于资本监管绩效的研究忽视了商业银行目标资本充足率与实际资本充足率的区别。有鉴于此,本文基于2011—2017年中国156家商业银行的数据,运用局部动态调整模型和系统GMM(广义矩估计)方法估计了资本监管压力对银行目标资本充足率的影响。实证研究表明:资本监管会影响银行主观的资本持有意愿,监管压力越大,银行主观持有更多资本的意愿越强;不同所有制银行的目标资本充足率存在差异。接着,本文探讨了银行向目标资本充足率动态调整的特征。研究发现:资本充足率缺口为正的银行,倾向于通过调整资本和风险加权资产向目标资本充足率靠近;资本充足率缺口为负的银行,倾向于通过调整风险加权资产向目标资本充足率靠近。进一步细分资本和风险加权资产的类型可以发现,银行倾向于运用二级资本而不是一级资本来调整资本持有;同时,银行倾向于通过调整贷款来调整风险加权资产持有量。本文的研究为进一步推进资本监管改革提供了新的思路和洞见。

Current research ignores the difference between bank target capital holdings and actual capital buffer.Using the data of 156 commercial banks in China from 2011 to 2017, this paper estimates the impact of capital regulatory pressure on bank target capital holdings by using local dynamic adjustment model and system GMM method.Our key findings are that capital regulation will robustly affect the capital holdings of banks. The greater the regulatory pressure, the stronger the willingness of banks to hold more capital. Different types of banks have different target capital holdings. Next, we explore the dynamic adjustment characteristics of banks towards target capital holdings. Our results suggest that banks with positive capital gap tend to adjust capital adequacy ratio by reducing capital and extending risk, while banks with negative capital gap tend to adjust capital adequacy ratio by reducing risk. Subdividing the capital and risky assets, we can find that banks tend to use secondary capital rather than primary capital to adjust their capital holdings;at the same time, banks tend to adjust their holdings of risky assets by increasing loans. This study provides new insights for further promoting the reform of capital regulation.