基於巴塞尔协议的中国上市金融业实证研究

An Empirical Study on the Basel Accord: Evidence from Chinese Listed Financial Institutes

本研究探讨中国上市金融业资产风险与管制资本的关系。论文以1993年至2002年间上市的金融业为样本。实证结果发现:(1)控制了流动性风险、规模、总体经济等因素后,资本比率与资产风险间成显著正相关,破产理论或管制理论适用于解释样本期间内中国上市金融业风险与资本运作间的关系。(2)1997年参照巴塞尔协议实施相关法规办法以后,金融业资产风险上升,显示此项管制并未达成降低风险的效果。(3)管制实施以后,为维持净资产收益率,金融机构的资产风险反而较管制前为高。(4)核心资本是金融业吸收损失的主要来源。

This paper examines the association among asset risk, capital, and Basel regulations in Chinese listed financial institutes. The empirical findings arc as follows: first, the bankruptcy theory or regulation theory can explain the association between asset risk and capital after controlling size, liquidity risk, and macroeconomic factors. Second, the 1997 Basel capital regulation leads financial institutes to increase their risk exposures, thus this regulation is non-effective. Third, financial institutes take more risky asset positions given a capital level after 1997. Finally, we also find the core capital is the main portion to absorb the operation loss.