资本监管与银行风险:基于联立方程模型的实证分析

Capital Regulation and Bank Risk:Based on Simultaneous Equation Approach

本文采用联立方程模型,利用我国36家商业银行的270份面板数据样本对我国商业银行资本监管、银行资本以及风险之间的关系进行了实证分析。结果表明:在资本监管下,商业银行会同时考虑其资本与风险的变化;监管压力总体而言会显著地降低银行的风险,但对上市银行风险的影响并不明显,而监管压力对银行资本产生影响并不显著。

Using the simultaneous equation model and a sample of 270 panel data from 36 commercial banks,this paper empirically examines the relationship among capital regulation,bank capital and risk of Chinese commercial banks.The result indicates that commercial banks consider capital changes and risk simultaneously.In general,regulatory pressure can decrease bank risk notably,but it cannot affect risk of listed banks and influence bank capital in an obvious way.