基于双边随机边界模型的资本监管有效性研究

Study of the Capital Regulation Effectiveness Based on Two-tiered Stochastic Frontier Model

构建一个双边随机边界模型,估计和分析资本监管当局与商业银行对银行风险水平的影响能力及其影响效应,借以评估资本监管的有效性。研究结果表明:监管当局与商业银行不同的影响能力对银行风险水平的形成具有重要作用;商业银行具有明显的信息优势和更强的影响能力,双方的综合影响结果导致实际风险水平比均衡风险水平高34.78%,中国商业银行对风险仍具有较强的承受能力,资本监管有效性相对不足。监管当局需要提高资本充足监管水平,并加强对商业银行的行业信息和个体信息的深度了解,进一步增强资本监管的有效性。

This paper establishes a two-tiered stochastic frontier model, estimates and analyses commercial banks and capital supervisory authority＇s influencing ability including their effects on bank risk level for estimate the capital regulation effectiveness. The result shows that： the influencing ability does have an important effect on forming the bank risk level; the commercial banks possess obvious informa- tion superiority and stronger influencing ability, and it leads to that actual capital adequacy ratio is 34.78% more than equilibrium capital adequacy ratio; commercial banks have strong bearing ability for the bank risk, so the capital regulation effectiveness is insufficient relatively. It is necessary that the supervisory authority enhances capital adequacy regulatory level and strengthens to understand the depth of the commercial banks＇ business and individual information, and gradually strengthens capital regulation effectiveness.