商业银行资本缓冲水平的决定因素——基于我国上市银行的实证分析

Determinants of Commercial Banks' Capital Buffer——Empirical Analysis Based on China's Listed Banks

文章使用动态面板数据对我国13家上市银行2000年至2010年间持有的资本缓冲水平与经济周期、资本收益率、资产风险水平和资产规模之间的关系进行实证分析。结果表明我国上市银行的资本缓冲水平与经济周期和银行规模之间存在显著的正相关关系,此外资本缓冲水平还受到资本调整成本、资本收益率和资产质量的显著影响。最后在实证分析的基础上为我国银行监管部门如何落实《巴塞尔协议Ⅲ》的资本缓冲要求提出政策建议。

This paper empirically studies the capital buffer of China＇s 13 listed banks with dynamic panel data from 2000 to 2010.The results show that economic cycle and bank asset have significant positive impacts on the listed banks＇ capital buffer in China.In addition,the level of capital buffer is also significantly influenced by capital adjustment cost,return on equity and asset quality.In conclusion,policy suggestions based on the empirical analysis are put forward for China＇s bank supervisors to implement the capital buffer requirement of Basel Ⅲ.