我国商业银行资本充足率顺周期行为研究

An Empirical Study on the Procyclical Behavior of Capital Adequacy Ratio of Commercial Banks in China

次贷危机引发国际金融危机后,金融体系的顺周期问题受到国际社会高度关注,并成为巴塞尔协议Ⅲ要解决的核心问题之一。采用37家商业银行2004—2012年的非平衡面板数据,运用动态面板模型分析我国商业银行的资本充足率顺周期行为,结果表明:我国商业银行与西方发达国家商业银行一样存在顺周期行为;国际金融危机对我国商业银行顺周期行为产生了一定的抑制作用,但是总体上并没有改变其顺周期行为的性质;我国商业银行更加重视在经济下行期对资产充足率的调整,即其顺周期行为在经济上行期和下行期存在非对称效应。我国政府和金融监管部门应积极参与国际社会关于宏观审慎政策的研究和设计,并努力解决我国金融体系的顺周期问题。

After the subprime mortgage crisis, the international community concerns about the financial system procyelicality to an unprecedented degree, which becomes one of the core issues of Basel Ⅲ trying to solve. Based on the dynamic panel model, this paper uses the unbalanced panel data of China＇s 37 domestic commercial banks during 2004-2012 year to empirically analyze procyclical behavior of capital adequacy Ratio of commercial banks in China. The empirical results show that there is procyclical behavior by commercial banks in China as banks do in Western developed countries, the financial crisis restrains procyelieal behavior of commercial banks in China to some extent, but on the whole there is no change on the nature of the proeyelical behavior, and with the economic downturn commercial banks in China attach more importance on the adjustment in capital adequacy ratio, i.e. there is asymmetrical effect of procyclical behavior at economic uptum and downturn. Chinese government and financial regulators should positively participate in macro-prudential policy research and design of international community, and make effort to solve the procyclieality problem of financial system in China.