宏观经济波动、内部治理与银行风险承担的顺周期性

Macroeconomic Fluctuations,Corporate Governance,and the Procyclicality of Banks' Risk Bearing Capacity

选用2007~2015年中国16家上市银行面板数据作为研究样本,运用GMM估计方法,对宏观经济波动、银行内部治理及银行风险承担水平间的关系进行了实证检验。研究结果表明,宏观经济波动与银行风险承担水平呈正相关关系,即中国上市银行的风险承担行为表现出显著的顺周期性,且该周期性在经济上行期和下行期呈现非对称特征;银行的股权集中度与风险承担之间呈现U型关系;董事会规模与银行风险承担水平之间存在显著的负相关关系;高管薪酬则与银行风险承担水平存在显著的正向变动关系;第一大股东持股比例、董事会规模和高管薪酬会显著影响宏观经济波动与银行风险承担水平之间的敏感性。因此,在强化银行资本缓冲逆周期监管的同时,还应完善银行内部治理机制。

Using panel data from 16 listed banks in China from 2007 to 2015, this study a- dopted the generalized method of moments （GMM） to empirically examine the relationship between macroeconomic fluctuations and the internal governance and riskbearing capacity of banks. The results showed that macroeconomic fluctuations were positively correlated with banks＇ risk bearing capacity. The risk -bearing behavior of the listed banks in China presented significant procyclicality. In addition, such cyclical characteristics appeared to be asymmetrical between upturns and downturns of the economy. The relationship between ownership concentration and risk bearing behavior manifested a U- shape pattern;there was a significant negative correlation be- tween the size of the board of directors and banks＇ risk-bearing capacity. Executive compensation and risk bearing were found to have a significant positive correlation. The proportion of share- holdings of the largest shareholder, the size of the board of directors, and the compensation of the executives appeared to have a significant impact on the relationship between macroeconomic fluctuations and banks＇ likelihood to bear risk. Therefore, it is suggested that, in addition to strength ening the supervision of banks＇ countercyclical capital buffers, banks＇ internal governance policies should also be improved.