我国上市银行资本缓冲周期性及其影响因素研究

The Cyclical Behavior and its Determinants of Chinese Listed Banks

全球性金融危机对银行体系和实体经济的重创引发人们对银行资本缓冲周期性行为的广泛探讨。本文基于我国上市银行的季度数据,划分不同的经济周期阶段,对我国商业银行资本缓冲的周期性行为及其驱动因素进行考察。研究发现,样本期内,我国上市银行的资本缓冲具有逆周期性,而且资本缓冲对经济周期的敏感性是非对称的,在经济衰退期,资本缓冲受经济波动的影响更为强烈。银行资本和信贷资产都是银行资本缓冲逆周期行为的驱动因素,只是所有权性质不同的银行,其逆周期行为的驱动来源会有所差异,大型银行的资本缓冲倾向于资本方式的调整。本文的结论对我国制定适当的资本缓冲政策和促使商业银行加强资本管理等具有重要的启示。

The global financial crisis has triggered an extensive discussion on the cyclical behavior of bank capital buffers, with a serious damage to banking system and real economy. Based on quarterly data for the listed banks, this paper explores empirically the cyclical behavior of bank capital buffers and its driving factors in China, by dividing business cycle into different stages. Our results show that the capital buffers of China＇s listed banks are countercyclical during the sample period, and they are asymmetrically sensitive to the business cycle, which is more susceptible during the recession. Both bank capital and credit assets are driving factors of the countercyclical behavior of bank capital buffers. However, the driving sources are different between banks with different ownerships, with large banks tending to adjust their capital buffers through bank capital. Our conclusions have important implications for developing appropriate capital buffer policy and encouraging commercial banks to strengthen their capital management.