银行业系统性风险与资本补充行为研究——来自16家上市银行的证据

Research on the Systematic Risk and Capital Supplement Behavior of the Banking Industry——Evidence from China's 16 Listed Banks

基于中国16家上市银行近6年的数据,对非对称Co VaR模型进行分位数回归,研究不同资本补充行为对银行业系统性风险的影响。研究发现,中国商业银行进行资本补充时,发行债券补充资本可以降低系统性风险;发行优先股亦可以降低系统性风险,但效果不显著;增发普通股或配股会导致系统性风险上升。因此,商业银行进行资本补充时,应避免上市银行集中采取定向增发和配股方式,以防范系统性风险上升。

Based on the data from 16 listed banks in China in the last 6 years, this paper studies the impact of different capital supplement behaviors on the systematic risks of commercial banks by using quantile regression to analyze non -asymmetric CoVaR model. The study shows that for China＇ s commercial banks, issuing bonds to increase capital can reduce systematic risk ; issuing preferred stock can also reduce systematic risk, but the effect is not significant;issuing ad- ditional common share or right offerings may increase systematic risk. Therefore, listed commercial banks should avoid adding capital through private equity placement and right offerings, so as to guard against the increase of systematic risks.