资本充足率高代表资本充足吗？--基于中国上市银行2007～2011年季度数据分析

Does Capital Adequacy Ratio Indicate Capital Adequacy? —Based on the Quarterly Data of Chinese Listed Banks From 2007 to 2011

鉴于监管压力是我国银行被动调整资本充足率的原因,本文认为,我国商业银行资本充足率高并不一定代表资本充足的真实和有效。通过计量实证和统计方法对14家银行财务数据进行的研究,本文对提高资本充足率的两种方法——资本管理和监管资本套利进行了分析。结果表明,银行没有通过贷款损失准备进行资本管理,但是通过相互持有次级债弥补资本不足。在监管资本套利方面,我国资产规模较大的银行很可能进行了监管资本套利。在金融不断深化的背景下重新审视资本监管,重视资本充足的真实有效是未来银行监管面临的重要课题。

China＇s banking supervision is the main reason that banks adjusted capital adequacy ratio, so the high capital adequacy radio may not indicate the real and effective capital adequacy. Through the statistical analysis of 14 banks＇ financial data, this paper analyzes two ways that may improve capital adequacy ratio： capital management and regulatory capital arbitrage. The conclusion drawn in this paper shows that the banks did not practice the capital management through the loan loss provision, but using the subordinate debt to supplement the shortage of capital. This paper indicates that larger banks are likely to take the regulatory capital arbitrage. Re-examining capital regulation and paying attention to the real and effective capital adequacy is an important issue in the future financial supervision.