摘要
本文借鉴"公地悲剧模型"论证了银行业实施微观审慎与宏观审慎协调监管的必要性,并运用面板VAR模型对我国14家上市银行的数据进行实证检验,研究宏观审慎工具与微观审慎监管工具对商业银行稳健性的影响。实证研究结果表明,给定宏观审慎监管工具"银行业集中度"和"广义信贷/GDP偏离度"的一定冲击后,商业银行稳健性水平从负向反应逐步转为正向反应;给定微观审慎监管工具"流动性比率"、"核心资本充足率"和"杠杆率"的一定冲击后,商业银行稳健性水平呈现正向反应。这表明单一宏观审慎监管工具与微观审慎监管工具的效应并不完全协调,因此,应当完善宏观审慎监管工具的种类和操作方式。
The paper using improved "Tragedy of the Commons" model demonstrates the necessity of banking industry to implement macro-prudential and micro-prudential supervision, and researches the macro-prudential and micro-prudential supervision tools impact on the soundness of commercial banks using panel VAR model. The empirical analysis shows that given the macro-prudential regulatory tools "banking concentration" and "generalized credit / GDP deviation" a certain impact, the soundness of commercial banks gradually shift from the level of negative response to the positive reaction;Given the micro-prudential regulatory tools "liquidity ratio", "core capital adequacy ratio" and "leverage" a certain impact, commercial banks react positively robust level. The results show that single macro-prudential and micro-prudential regulatory tools are not fully coordinated effects, regulatory authorities should improve the macro-prudential regulatory tools of the type and mode of operation.
出处
《南方金融》
北大核心
2014年第10期17-22,共6页
South China Finance
基金
国家自然科学基金项目<我国银行业宏观审慎管理与微观审慎管理协调创新研究>(项目编号:71373071)的资助
关键词
金融监管
银行稳健性
监管协调性
合成谬误
Financial Supervision
Bank Soundness
Supervision Coordination
Fallacy of Composition