货币政策对中国上市银行资本缓冲逆周期性的非线性影响——基于STAR模型的实证研究

The Non- linear Effects of China's Monetary Policy on the Counter- cyclical of Bank Capital Buffers:Empirical Analysis Based on the STAR Model

逆周期资本缓冲机制在微观金融稳定的内涵基础上赋予了新资本协议宏观审慎的外延。本文加入银行风险承担因素,以中国10家代表性上市银行为研究样本,采用LSTAR模型对货币政策对我国银行资本缓冲逆周期性的非线性影响进行了研究。结果表明:(1)我国逆周期货币政策对银行资本缓冲周期性影响显著。(2)货币政策影响下,银行资本缓冲行为的状态转换速度随银行规模和国有控股程度的弱化而递减。(3)银行的资本缓冲行为对价格型货币政策调控更敏感。

Counter - cyclical capital buffer mechanism has given a macro - prudential epitaxy to Basel III in financial stability connotation. This paper uses LSTAR model to study the non - linear effects of monetary policies on bank capital buffer counter - cyclical and add the bank risk - taking in. Our results show that the counter - cyclical monetary policy has significantly impact bank capital buffer cyclical in China. The degree of the counter- cyclical in bank capital buffers enhanced by monetary policies decreases with the size and state - owned holdings weakens. The bank＇s capital buffer behavior is more sensitive to price - based monetary policy.