资本充足率顺周期性的实证研究

An Empirical Study of the Pro-Cyclicality of Capital Adequacy Ratio

本文运用面板数据模型，对中国商业银行资本充足率是否存在顺周期性特征进行研究。文章针对中国29家不同类型的商业银行2005～2012年的资本情况进行的实证分析表明，中国不同类型的商业银行资本存在不同的周期性特征：目前国有商业银行和农村商业银行资本充足率不存在周期性特征；全国性股份制商业银行资本充足率具有显著的顺周期性特征，即银行资本在经济繁荣时期下降，萧条时上升；而城市商业银行资本充足率则具有显著的逆周期性特征，即银行资本在经济繁荣时上升，萧条时下降。由此建议监管部门在实施逆周期政策时需根据不同类型银行采取差别的政策。

Based on panel data model, this paper researches whether or not the capital adequacy ratios of Chinese commercial banks have pro-cyclical characteristics. The paper empirically analyses the capital status of Chinese 29 commercial banks that are divided into different type. The results of the paper show that Chinese different type of commercial banks doesn＇t have the same cyclical characteristics. At present, the capital adequacy ratios of state-owned commercial banks and rural commercial banks don＇t have cyclical characteristics. The capital adequacy ratios of national joint-stock commercial banks have obvious pro-cyclical characteristics that the capitals of the banks decrease during economic boom and increase during economic depres- sion. The capital adequacy ratios of city commercial banks have obvious counter-cyclical characteristics that increase during eco- nomic boom and decrease during economic depression. Therefore, it is suggested that regulators implement different counter- cyclical policies for the different type of banks.