摘要
对宏观经济波动下中国银行业资本缓冲与信贷风险周期性行为特征进行理论分析,基于此提出研究假设,进而利用2004~2012年中国16家上市银行的年度面板数据构建联立方程对该问题进行实证检验。结果表明:(1)中国上市银行资本缓冲、信贷风险与经济周期正相关;(2)在经济上行期和经济下行期,经济周期均对资本缓冲有正向影响,而经济周期对信贷风险的影响是非对称的,在经济上行期为正向影响,在经济下行期为负向影响;(3)银行资本金与经济周期正相关,加权风险资产与经济周期负相关,这种变动特征强化了资本缓冲的逆周期性。
The relationship between macroeconomic developments and bank capital buffer and credit risk adjustments is relevant to assess the efficacy of newly created countercyclical capital buffer instrument. Firstly,we analyze the features of Chinese listed banks' capital buffer and credit risk under macroeconomic fluctuation. Then use the panel data over the period 2004-2012 and construct simultaneous equation. We find robust evidence of positive relationship between capital buffer( credit risk) and business cycle. Moreover,the business cycle has a positive influence in capital buffer in economic boom and economic bust, but in the recession,the business cycle has a negative effect on credit risk. The bank's capital has a positive movement with business cycle,but the risk weighted assets have a negative correlation with the business cycle. The feature intensifies the counter- cycle behavior on Chinese listed banks' capital buffer.
出处
《金融经济学研究》
CSSCI
北大核心
2014年第3期67-75,共9页
Financial Economics Research
基金
江苏省哲学社会科学规划项目(09JD001)
中国矿业大学管理学院高水平论文专项基金
关键词
资本缓冲
信贷风险
经济周期
capital buffer
credit risk
business cycle