商业银行资本充足率的信息甄别与选择

Screening Information and Choice in the Capital Adequacy Ratio of Commercial Banks

对商业银行资本充足率的要求已经成为银行监管体系的核心。目前,世界上许多国家和地区都在遵守《巴塞尔协议》规定的资本充足率不低于8%的标准,但这个统一标准忽视了个体差异,显得不尽合理。与现有文献的分析角度不同,本文重点研究了监管部门制定该标准的信息甄别问题,并指出监管部门的监管水平与最低资本充足率要求之间存在一定的替代关系。基于数理模型推导,本文又利用数值分析的方法,对模型的结果给出直观的经济解释。最后文中对一百多个国家和地区的实证分析结果也支持了本文模型的推断。

The commercial bank＇s capital adequacy ratio （CAR） requirement has become the core of the banking supervision system. At present, many countries and regions are complying with ＂CAR no less than 8%＂, the ＂Basel Agreement＂ standard, while it is irrational to ignore individual characteristics. Different from the existing literatures, this paper focuses on the screening information problem about the regulatory standard, and points out that there is a certain substitutive relationship between the regulatory au- thority＇s ability and the minimum CAR. Based on the mathematical model, the results are further explained by numerical analysis. The empirical analysis of some countries and regions also gives support to the model.