资本缓冲与银行资产配置行为研究——来自跨国银行业的经验证据

发布时间：2018-01-07 00:28

本文关键词：资本缓冲与银行资产配置行为研究——来自跨国银行业的经验证据　出处：《财贸经济》2015年08期 　论文类型：期刊论文

【摘要】：随着巴塞尔资本协议Ⅲ在全球范围内的实施,新监管环境下商业银行的行为调整特征及其对实体经济产生的影响得到了理论界和实务界的高度关注。本文基于1998-2012年全球350家商业银行的经验数据,采用系统GMM等估计方法实证检验了资本缓冲与银行资产配置行为间的关系。实证结果表明:资本缓冲与银行信贷行为呈现负相关关系,与证券投资行为呈现正相关关系;高资本缓冲、高资本质量(核心资本比例较高)的银行资本缓冲与信贷行为(证券投资)的负(正)相关关系更为明显。本研究说明巴塞尔Ⅲ的实施将减弱银行信贷投放能力、迫使银行将资产更多地配置在证券投资领域。监管当局在实施巴塞尔Ⅲ的过程中,应采取有效措施减小其对实体经济带来的外溢效应。
[Abstract]:With the implementation of the Basel Capital Accord in the global scope, impact of the new regulatory environment to adjust the behavior of the characteristics of commercial banks and its impact on the real economy has been a great concern in the circles of theory and practice. Based on the experience of the number of 1998-2012 global 350 commercial banks according to the system, GMM estimation method to test the influence of the allocation of bank assets and capital buffer behavior. The empirical results show that the negative relationship between capital buffer and bank credit behavior, shows a positive correlation with the behavior of securities investment; high capital buffer, high quality of capital (core capital proportion) the bank capital buffer and credit behavior (investment) and negative (positive) correlation the relationship is more obvious. This study shows that the implementation of Basel III will weaken the bank credit capacity, forcing banks to set more assets allocation when supervision in the field of securities investment. During the implementation of Basel III, the bureau should take effective measures to reduce the spillover effect on the real economy.

【作者单位】：中国银行国际金融研究所;中国社科院金融研究所银行研究室;
【基金】：第55批中国博士后科学基金“资本监管宏微观效应研究”面上项目(2014M550989)的资助
【分类号】：F831.2
【正文快照】： 引言2008年金融危机后,针对老版巴塞尔协议在危机中暴露出的不足,巴塞尔委员会对其进行了修订,提出了更为严格的巴塞尔资本协议m(以下简称巴in)。巴ii[在资本监管方面提出了更高要求。①2014年,金融稳定署(Financial Stability Board)又推出针对全球系统性重要银行的“总损失

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