资本和流动性双重约束下的商业银行风险承担

Risk-taking of Commercial banks under the Dual Constraints of Capital and Liquidity

随着银行业进入资本和流动性双重约束阶段,两者之间存在的冲突和矛盾可能导致银行行为机理发生变异。本文基于2006-2014年我国36家商业银行的微观数据,采用联立方程模型实证检验了资本和流动性双重约束下我国银行业的风险承担行为。研究结果表明:资本变动与商业银行风险承担变动之间总体上存在显著的负相关关系;流动性变动与银行风险承担变动之间也呈显著的负相关关系;银行会根据上一期的资本、流动性与风险承担反向调整本期水平,三者均存在内生的稳定性。有鉴于资本和流动性双重约束下银行风险承担行为的变异,资本约束与流动性约束的合成效应应该纳入银行监管框架调整的考虑范围。

With banking industry entering the phase of dual constraints of capital and liquidity, it may rise some conflicts which could mutate the mechanism of bank behavior. Using 36 commercial banks＇ data from 2006 to 2014 and simultaneous equation model, this paper examines the bank behavior. We find that there is a significant nagetive relationship between capital change and bank risk-taking change in all, so does the relationship between liquidity change and bank risk-taking change. As capital, liquidity and risk-taking have an inherent stable trend, banks inversely adjust current levels according to the lagged value. Banking regulatory system must take the synthetic effect of capital and liquidity constraints into consideration in terms of the variation of banking risk-taking behavior.