资本缓冲会降低银行的风险承担水平吗--基于跨国银行业的经验证据

Do Capital Buffers Reduce Banks' Risk-Taking Level?——An Evidence from multi-national Banking Sector

本文以资本缓冲对银行风险承担水平的影响作为研究对象,从理论上分析了银行风险承担水平随资本缓冲变动调整的机理,并提出一系列理论假说。在此基础上,采用全球97个国家1211家商业银行的微观数据作为研究样本,运用动态面板系统GMM估计的方法对理论假说进行了实证检验。实证结果表明:资本缓冲的增加强化了银行提高风险承担水平的动机,这一机制在经济增速较快时体现得尤为明显;随着资本缓冲数量的增加,资本缓冲对风险承担水平的正向激励效应会呈现"减弱—强化—减弱"的"U"型关系;资本金结构中核心资本比例的提高,会强化资本缓冲对风险承担水平的正向激励效应。

This paper studies the relationship between capital buffer and banks＇ risk-taking level. Based on a dataset with 1211 commercial banks from 97 countries, this article develops a dynamic panel model and examines the theoretical hypotheses with one - step systematic GMM estimation. The resuhs show that the increase of capital buffer stimulates banks＇ risk taking level, which seems to be more significant in periods of economic upturns; as capital buffer increases, the positive effects between capital buffers and bank risk-taking behavior like a ＂U＂ shape curve （first decrease, then intensify, and decrease again）. The increase of core capital in hanks＇ capital structure will enhance the positive relationship between capital buffer and risk-taking level.