资本缓冲对中国上市银行绩效的影响研究——基于动态面板数据模型的实证分析

The Relationship between Capital Buffer and Performance of China's Listed Banks: Based on Dynamic Panel Data

2008年金融危机之后,建立宏观审慎监管框架已成为各国金融监管部门与商业银行关注的焦点。在宏微观审慎框架下,商业银行积累资本缓冲以抵御未来金融危机的负面冲击。本文基于2000-2014年中国16家上市银行的非平衡面板数据,运用GMM动态面板估计方法,实证分析了资本缓冲对上市银行绩效的影响。研究发现:提取资本缓冲对上市银行绩效有一定的影响,但影响不稳健;资本的外部监管使得资本缓冲对绩效有显著的阻碍作用;银行绩效有显著的亲周期效应;资本监管平抑银行绩效亲周期效应的作用并不明显。

After the financial crisis in 2008, the macro-prudential framework has become the focus of the main authorities＇ attention around the world. Using financial statements date from 2000 to 2014 for 16 listed banks in China, this paper discusses the relationship between bank capital buffers and bank performance in China＇s banking sector. We find that：（1） Capital buffer has a certain impact on bank performance, but the impact is not robust;（3） The regulation on capital buffer could harm the bank performance;（2） There is positive co-movement between performance and business cycles;（4） The regulation on capital buffer could smooth the pro-cyclical effects of bank.