基于双边随机边界模型的资本监管有效性研究
发布时间：2018-10-19 12:30
【摘要】：构建一个双边随机边界模型,估计和分析资本监管当局与商业银行对银行风险水平的影响能力及其影响效应,借以评估资本监管的有效性。研究结果表明:监管当局与商业银行不同的影响能力对银行风险水平的形成具有重要作用;商业银行具有明显的信息优势和更强的影响能力,双方的综合影响结果导致实际风险水平比均衡风险水平高34.78%,中国商业银行对风险仍具有较强的承受能力,资本监管有效性相对不足。监管当局需要提高资本充足监管水平,并加强对商业银行的行业信息和个体信息的深度了解,进一步增强资本监管的有效性。
[Abstract]:In order to evaluate the effectiveness of capital supervision, a bilateral stochastic boundary model is constructed to estimate and analyze the influence of capital supervision authorities and commercial banks on the risk level of banks. The results show that the different influence abilities of the regulatory authorities and commercial banks play an important role in the formation of the bank risk level, and the commercial banks have obvious information advantages and stronger influence ability. The result of both sides' comprehensive influence results in that the actual risk level is higher than that of equilibrium risk level 34.788.Chinese commercial banks still have strong tolerance to risk and the effectiveness of capital supervision is relatively insufficient. The regulatory authorities need to improve the level of capital adequacy supervision and strengthen the in-depth understanding of the industry information and individual information of commercial banks so as to further enhance the effectiveness of capital supervision.
【作者单位】： 财政部财科所博士后流动站;信阳师范学院经济学院;
【基金】：博士后基金(2013M540896) 教育部人文社科青年基金项目(13YJC790020)资助
【分类号】：F832.1;F224
[Abstract]:In order to evaluate the effectiveness of capital supervision, a bilateral stochastic boundary model is constructed to estimate and analyze the influence of capital supervision authorities and commercial banks on the risk level of banks. The results show that the different influence abilities of the regulatory authorities and commercial banks play an important role in the formation of the bank risk level, and the commercial banks have obvious information advantages and stronger influence ability. The result of both sides' comprehensive influence results in that the actual risk level is higher than that of equilibrium risk level 34.788.Chinese commercial banks still have strong tolerance to risk and the effectiveness of capital supervision is relatively insufficient. The regulatory authorities need to improve the level of capital adequacy supervision and strengthen the in-depth understanding of the industry information and individual information of commercial banks so as to further enhance the effectiveness of capital supervision.
【作者单位】： 财政部财科所博士后流动站;信阳师范学院经济学院;
【基金】：博士后基金(2013M540896) 教育部人文社科青年基金项目(13YJC790020)资助
【分类号】：F832.1;F224
【参考文献】
相关期刊论文 前5条
1 吴俊;张宗益;邓宏辉;;商业银行资本、风险与效率的关系:中国经济转型期的经验研究[J];财经论丛;2011年01期
2 曹艳华;;资本监管压力下的商业银行风险承担行为——基于不同性质商业银行(2004～2007)的比较研究[J];金融论坛;2009年05期
3 袁庆禄;;资本充足监管下的银行资本与风险调整行为[J];金融论坛;2012年04期
4 张强;武次冰;;中国商业银行资本充足性管制有效性的实证分析[J];湖南大学学报(自然科学版);2007年11期
5 许友传;;资本约束下的银行资本调整与风险行为[J];经济评论;2011年01期
【共引文献】
相关期刊论文 前10条
1 刘胤;吴俊;张宗益;;资本调整、风险控制与宏观经济周期[J];金融论坛;2011年11期
2 翟光宇;陈剑;;资本充足率高代表资本充足吗?——基于中国上市银行2007～2011年季度数据分析[J];国际金融研究;2011年10期
3 袁庆禄;;资本充足监管下的银行资本与风险调整行为[J];金融论坛;2012年04期
4 郭海滨;;资本监管对我国主要商业银行资本管理的影响分析[J];南方金融;2012年11期
5 许友传;;商业银行资本充足率的风险信息内容与质量[J];财贸经济;2012年12期
6 汪，
本文编号：2281113
本文链接：https://www.wllwen.com/guanlilunwen/huobilw/2281113.html
