商业银行资本缓冲与风险调整的行为分析

发布时间：2018-04-05 14:34

  本文选题：商业银行　切入点：资本缓冲调整　出处：《南开大学》2013年硕士论文

【摘要】：本文基于我国14家上市商业银行2008年到2012年的季度数据,对商业银行资本缓冲与风险的短期调整行为运用3SLS进行实证分析,考察我国大型商业银行、股份制商业银行与城市商业银行资本缓冲与风险调整行为的异同。研究发现,在样本期内14家上市银行的资本缓冲变动与风险调整之间总体上存在显著的正相关关系,但是股份制商业银行的资本缓冲变动最快且资本缓冲调整与风险调整之间的关系显著为正；而城市商业银行的风险调整最快,但风险调整与资本缓冲调整之间的关系不显著；大型商业银行的风险调整对资本缓冲变动最敏感,但资本缓冲调整对风险调整的影响不显著。本文的结论对于中国版巴Ⅲ实施后的情况有一定的预测作用,且对我国制定差别化监管政策和促进银行加强风险管理等有启示性作用。
[Abstract]:Based on the quarterly data of 14 listed commercial banks from 2008 to 2012, this paper makes an empirical analysis on the short-term adjustment of capital buffering and risk of commercial banks using 3SLS to investigate the large commercial banks in China.The similarities and differences of capital buffering and risk adjustment between joint-stock commercial banks and urban commercial banks.The study found that there was a significant positive correlation between the capital buffer change and risk adjustment of 14 listed banks in the sample period.However, the capital buffering of joint-stock commercial banks is the fastest and the relationship between capital buffer adjustment and risk adjustment is significantly positive, while the risk adjustment of urban commercial banks is the fastest, but the relationship between risk adjustment and capital buffer adjustment is not significant.The risk adjustment of large commercial banks is most sensitive to the change of capital buffer, but the impact of capital buffer adjustment on risk adjustment is not significant.The conclusion of this paper can predict the situation of China's Banba 鈪，

本文编号：1715223