我国商业银行治理对资本缓冲的影响研究

发布时间：2018-05-31 22:24

本文选题：银行治理 + 资本缓冲　；参考：《浙江工商大学》2017年硕士论文

【摘要】：由美国次贷危机引发的金融危机导致全球金融市场受到了极大的冲击。在此次金融危机中,以商业银行为主的金融机构的稳定性面临严峻的考验,而商业银行体系的亲周期效应和资本监管的顺周期性被认为是加深此次金融危机的重要原因。因此,巴塞尔委员会在2010年新版的巴塞尔协议(Basel Ⅲ)中提出的"资本缓冲"的宏观审慎监管工具以及2011年我国银监会提出包括资本缓冲的计提等一系列监管措施在内的新资本监管方案均旨在通过资本缓冲的计提来应对商业银行资本波动带来的风险。然而,影响商业银行资本缓冲计提的因素有很多,且作用机制较为复杂。目前对于商业银行资本缓冲影响因素的研究主要围绕经济周期对资本缓冲的影响来展开,但少有文献探讨银行治理这一重要的内部因素对银行资本缓冲水平的影响。作为影响银行内部一系列重要决策的关键性因素,银行治理因素对商业银行资本缓冲水平的影响是不容忽视的。本文在归纳梳理以往商业银行治理相关文献的基础上,主要从银行治理的委托代理问题的角度出发,对银行治理对资本缓冲水平的影响机制进行理论上的分析,并选取我国信息披露较为完整的38家商业银行,包括国有银行、股份制商业银行及城市商业银行3类目前我国主要的商业银行2008年至2014年的相关年报数据,以商业银行股权结构、董事会质量及高管股权激励三个变量作为商业银行治理的代理变量,分别从银行治理与资本缓冲、银行治理与资本缓冲的周期性特征以及银行治理对资本缓冲的分解效应三个方面建立实证模型并展开实证分析。结果发现,股权集中度较高或存在高管持股现象的商业银行,往往倾向于持有较低的资本缓冲水平;而独立董事人数占董事会总人数比例较高的商业银行资本缓冲水平较高。因此,适当降低商业银行股权集中度、保持适度的高管持股比例以及提高独立董事在董事会人数中的占比对于提高商业银行资本缓冲水平,进而提高其对经营风险的管控能力,维护我国金融体系的稳定具有重要的意义。
[Abstract]:The financial crisis caused by the subprime mortgage crisis in the United States caused a great impact on the global financial market. In this financial crisis, the stability of the financial institutions, which are mainly commercial banks, is facing a severe test, and the pro-cycle effect of the commercial banking system and the procyclicality of capital supervision are considered to be the important reasons for deepening the financial crisis. Therefore, The "capital buffer" macro-prudential regulatory tools proposed by the Basel Committee in the 2010 new edition of Basel III and a series of regulatory measures proposed by the Banking Regulatory Commission of China in 2011 include capital buffer provisions and other regulatory measures. The new capital supervision programs are designed to deal with the risk of capital fluctuation of commercial banks through capital buffer. However, there are many factors that affect the capital buffer of commercial banks, and the mechanism is complex. At present, the research on the influencing factors of capital buffering in commercial banks is mainly focused on the impact of economic cycle on capital buffering, but there is little literature to discuss the influence of bank governance, an important internal factor, on the capital buffer level of banks. As a key factor affecting a series of important decisions, the influence of bank governance on the capital buffer level of commercial banks can not be ignored. On the basis of summarizing and combing the related literatures of commercial bank governance, this paper analyzes theoretically the influence mechanism of bank governance on capital buffer level from the perspective of principal-agent problem of bank governance. And select 38 commercial banks with complete information disclosure, including state-owned banks, joint-stock commercial banks and city commercial banks. The three variables of commercial bank equity structure, board quality and executive equity incentive are taken as proxy variables of commercial bank governance, respectively from bank governance and capital buffering. The periodic characteristics of bank governance and capital buffer and the decomposition effect of bank governance on capital buffer are analyzed. The results show that commercial banks with high concentration of equity or with the phenomenon of executive ownership tend to hold lower capital buffers, while the commercial banks with higher proportion of independent directors to the total number of board members tend to hold higher capital buffers. Therefore, reducing the degree of equity concentration of commercial banks properly, keeping a moderate proportion of senior management shares and increasing the proportion of independent directors in the number of board of directors can improve the capital buffer level of commercial banks, and then improve their ability to control the operating risks. It is of great significance to maintain the stability of our financial system.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33;F830.42;F271

【参考文献】