巴塞尔协议、风险厌恶与银行绩效——2004～2008年中国商业银行的实证分析

Basel Accord,Risk Averse and Bank Performance——Evidence from Chinese Bank in 2004-2008

根据巴塞尔协议Ⅲ标准,中国银监会推出的四大监管工具将对中国商业银行产生怎样的影响?本文将选取29家中国商业银行样本,用Z-score测度银行风险厌恶程度,实证发现:Z-score与资本充足率、拨贷比、杠杆率、净稳定融资比率正相关,而与流动比率负相关。四大监管工具的实施,有利于提高Z-score,增加风险厌恶程度,降低银行破产概率,提高银行绩效。

Promoting Basel Ⅲ standards from Basel committee, and four instruments from Chinese bank supervision, how does it impact on Chinese banking？ This paper develops models with samples of 29 banks in China. It measures risk averse by Z - score, which positive to capital adequacy ratio, loan loss reservation ratio, leverage ratio, net stable funding ratio, and negative to liquid ratio respectively. The four instruments are good for increasing Z - score, reducing solvency probability and stimulating bank performance