宏观审慎资本约束对银行资本与风险调整的影响研究

Impact of Macro-Prudential Capital Constraint on Bank Capital and Risk Adjustment

通过构建宏观审慎资本监管框架下的商业银行资本与风险调整的模型,考察在《资本管理办法》实施前后银行资本与风险的变化,进一步根据重要性将银行分成两个梯队,分析不同的监管条件对于不同系统重要性的银行风险和资本调整的影响,研究发现:(1)资本监管显著影响商业银行的风险调整,更高的资本监管要求可以降低商业银行的风险水平,增强银行体系的抗风险能力;(2)根据宏观审慎资本监管对不同系统重要性银行的研究结果,中国系统重要性银行尚不存在利用“大而不能倒”的地位来进行恶意竞争,但非系统重要性银行存在资本补充压力,会偏向选择采用调整风险达到更严格的资本要求;(3)不管是宏观审慎管理还是微观审慎管理都要重视贷款集中度对于银行风险的影响;(4)监管部门可以按照商业银行对银行体系的风险贡献来实行差异化资本监管。

By constructing a model of capital and risk adjustment of commercial banks under the framework of macro-prudential capital regulation,this paper examines the changes of bank capital and risk before and after the implementation of the Capital Management Measures,further divides banks into two echelons according to their importance,and analyzes the impact of different regulatory conditions on bank risk and capital adjustment of different systemic importance.The research finds that:(1)Capital regulation significantly affects the risk adjustment of commercial banks,and higher capital regulation requirements can reduce the risk level of commercial banks and enhance the anti-risk ability of the banking system;(2)According to the research results of macro-prudential capital regulation on different systemically important banks,China’s systemically important banks have not used the“big and can’t fail”position to conduct malicious competition,but non-systematically important banks have capital replenishment pressure and will prefer to adopt adjustment risk to meet more stringent capital requirements;(3)Both macro and micro prudential management should pay attention to the impact of loan concentration on bank risk;(4)The regulatory authorities can implement differentiated capital supervision according to the risk contribution of commercial banks to the banking system.