资本压力、股权结构与商业银行监管资本套利:基于1994-2011年我国商业银行混合截面数据

Pressure of Capital Adequacy,Ownership Structure and Regulatory Capital Arbitrage:Based on A Pool Data of Chinese Commercial Banks from 1994-2011

监管资本套利产生于Basel协议资本监管框架的缺陷,源于经济资本与监管资本的不一致性,对金融稳定产生了重大影响,是Basel委员会不断修正Basel协议的主要原因。但现有文献对监管资本套利问题的定量研究依然有限,尚不足以揭示客观事实。本文检验了影响商业银行监管资本套利程度的主要因素,研究结果表明:第一,监管部门规定的达标要求与商业银行资本充足率之差与其监管资本套利程度正相关,说明资本压力越大套利程度越高;第二,商业银行股权结构中具有中央背景的国有股权所占比例与监管资本套利程度负相关,说明所有者与监管者的博弈性越强套利程度越高。本文将回归模型运用于监管资本套利程度的估计,具有一定创新性。

Regulatory capital arbitrage derives from the defects of the Basel Agreement's capital regulatory framework,rooted in the inconsistency between economic capital and regulatory capital,and has a significant impact on financial stability; it is the main reason for the Basel Committee constantly revising the Basel Agreement. However,quantitative study on this issue is still limited and insufficient to reveal the objective facts. This paper examines the main factors affecting the extent of commercial bank's regulatory capital arbitrage,and shows that: firstly,the difference between compliance requirements set by regulators and the commercial bank's capital adequacy ratio shows positive correlation with the extent of its regulatory capital arbitrage,which means that the greater the pressure of capital adequacy is,the higher the extent of arbitrage would be; secondly,for the ownership structure of commercial banks,the proportion of central government owned shares shows negative correlation with the extent of regulatory capital arbitrage,indicating that the stronger the struggle between owners and regulators is,the higher the extent of arbitrage would be. This paper first applies regression models to the estimates of the extent of regulatory capital arbitrage,which is an innovation.