面板VAR模型框架下资本结构对商业银行盈利性和安全性的影响

The Impact of Capital Structure on the Profitability and Security of Commercial Banks under the Panel VAR Model

不同的资本结构会影响资本成本和治理结构,进而影响到银行的经营绩效。资本结构对银行绩效影响的关系问题一直是众多投资者和学者关心的课题。以国内12家上市商业银行为样本,建立面板VAR模型,从银行经营绩效的盈利性和安全性这两个维度出发,分析资本结构对银行经营绩效的影响,结果表明,资产负债率对银行绩效有明显且持续的正向影响,前五大股东持股比例之和对银行绩效有负向影响,但这种负面影响在长期中不显著;附属资本与核心资本的比值与银行绩效呈负相关;从长期来看,资产负债率变动对银行经营绩效的影响程度最大,而股权集中度对银行绩效的影响程度最小。因此,银行宜利用好负债抵税的优势,同时防止股权过于集中,设计出更多合理有效补充附属资本的资本工具,以促进银行绩效的提高。

Different capital structure will affect the cost of capital and governance structure, and ultimately affect the bank performance. The relationship between capital structure and bank performance has always been a concern for many investors and scholars. Taking the 12 listed commercial banks in China as a sample, a panel VAR model was established. From the perspectives of prof tability and security, the paper studies the impact of the bank＇s capital structure on its business performance. The results show that the debt-to-asset ratio has a signif cant and sustained positive impact on bank performance. The sum of the shareholdings of the top f ve shareholders has a negative impact on bank performance, but this negative impact is not signif cant in the long run. The ratio of subsidiary capital to core capital is negatively correlated with bank performance. In the long run, the change of debt-to-asset ratio has the greatest impact on the bank＇s performance, while the ownership concentration has the least influence on bank performance. Therefore, banks should make good use of the advantages of debt tax, and at the same time prevent over-concentration of equity, and design more capital instruments that can rationally and effectively supplement supplementary capital, so as to promote the improvement of bank performance.