资本充足率监管下的银行资本与风险行为——《商业银行资本充足率管理办法》实施后的实证分析

Banking Capitalization and Risk-taking Under Capital Adequacy Regulation:Empirical Evidence After Implementing the Capital Adequacy Standards

基于对商业银行资本与风险行为的理论阐释,本文对《商业银行资本充足率管理办法》实施后我国商业银行资本和风险行为的关系以及资本监管的政策效果进行了实证分析。研究发现:在资本监管的强制约束下,我国商业银行的资本变动与风险变动之间存在显著的负相关关系;最低资本监管要求能够有效地提高商业银行的资本充足水平,但对银行的资产风险变动没有显著的影响;银行规模有助银行提高资本和规避风险,但盈利水平对资本变动的影响不显著。

The paper investigates the impact the capital adequacy regulation has on bank capitalization and portfolio risk during the first year when the risk - based standard is in effect, exploiting simultaneous equations model. A negative association between change in capital and risk is found. The results suggest that the minimum capital standard is effective in increasing capital adequacy ratio, but not in reducing portfolio risk. Bank size helps banks to increase capital and reduce risks, but the profitability has no significant correlation with changes in capital.