资本监管约束下的银行最适资本缓冲研究

Study on Optimal Capital Buffer of Commercial Banks with Capital Regulation Constraints

缓冲资本是商业银行的可用资本与资本需求之间的差值,优化缓冲资本是商业银行提升资本管理能力的关键。本文运用存货管理中的策略,将银行资本视为存货,基于我国46家银行的相关财务数据,考虑资本监管约束及资本募集成本因素,检验在该策略下各银行的最优资本缓冲水平。经与实际资本缓冲水平比较、研究不同类型银行之间资本充足率水平差异的原因以及模型对不同类型银行的实际资本充足率水平的解释力度,发现模型对股份制银行的资本配置行为模拟最佳。

Buffer capital refers to the difference between the capital reserve of a commercial bank and the capital require- ment. Optimizing buffer capital is the key to enhancing banks~ capital management ability. Introducing the （s, S） strategy in inventory management, this paper considers bank capital as inventory, and by utilizing the financial data of 46 banks in China, the optimal capital buffer level of these banks under （s, S） strategy is examined with the consideration of both capital regula- tion constraints and capital rising cost factors. Furthermore, this study explores the difference between the optimal capital buffer and its actual level within banks from different categories and examines the prediction power of the model. This paper concludes that the model simulating banks~ capital allocation behavior performs better for joint-stock banks.