基于风险视角的商业银行资本充足监管有效性研究

Study on Effectiveness of CARS in Commercial Banks from Risk Perspective

在引入基本期权模型进行理论分析的基础上,运用成对样本检验、回归分析、协整和Granger因果检验等方法,对1998-2010年间资本充足监管对我国商业银行风险的影响进行了实证检验。结果表明:实施资本充足监管可以在一定程度上降低银行信贷风险,但这种影响是短期和不连续的,资本充足率和银行风险之间的长期均衡关系和相互因果关系都不明显,资本充足监管的长期有效性明显不足。

Basing on the theoretical introduction of Black-Schole formula,the empirical analysis on whether carrying out CARS can lower risk from 1998 to 2010 is given through paired samples,regression,cointegration and causality test.Empirical findings suggest that CARS is helpful for reducing the credit risk in some extent.However,the influence of CARS on bank risk is short-lived and discontinuous.The long-term balanced relation and mutually cause and effect relation between capital ratio and risk aren＇t so obvious.The long-term effectiveness of CARS is defective..