资本约束对监管效力的冲击效应研究

A Study on the Impact of Capital Constraint on Regulatory Effectiveness

本文改变了传统研究思路,在模型中以虚拟变量形式加入代表监管压力水平的目标"锚",研究了银行资本约束与风险行为、顺周期性、宏观经济波动等三个层面的关系,以此验证资本约束对中国商业银行监管效力的冲击效应。研究显示:加强资本监管有助于化解商业银行的信贷风险;资本监管的"信贷萎缩"效应在中国银行业中并不成立;银行资本在监管标准之上或之下对信贷投放周期和宏观经济波动的影响不同。进一步分析得到:资本充足率监管存在一个适度问题,在银行资本低于这个目标锚时加强监管则可以提高社会福利,反之在高于目标锚时,若继续加强监管则会损害社会福利,反而有利于信贷扩张,该结论为中国银行业资本监管带来重要的政策启示。

The paper challenges the traditional idea. It takes a dummy variable in the model as a goal 'anchor' of the regulatory pressure lev-el, and studies the relation between bank's capital constraint and risky behavior, pro-cyclicality, and macroeconomic fluctuation in order to verify the impact of capital constraint on regulatory effectiveness. The study shows as follows: strengthening capital regulation helps resolve the credit risk of commercial banks; the 'credit crunch' effect of capital regulation does not exist in Chinese commercial banks; the influence of bank capital on credit cycle and macroeconomic fluctuation is different under different regulatory standards. Further analysis comes to the finding that the regula-tion of capital adequacy ratio should be moderate. When the level of bank capital is lower than the target anchor, strengthening capital regulation can improve the social welfare. Otherwise it will hurt the social welfare and lead to credit expansion. These conclusions have important implications for capital regulation in Chinese banking industry.