资本充足率监管对银行绩效影响的研究

发布时间：2018-03-03 11:40

本文选题：巴塞尔协议　切入点：资本充足率监管　出处：《上海社会科学院》2014年硕士论文　论文类型：学位论文

【摘要】：银行的本质是追求利润最大化的经济组织,但因其特殊的资本结构与经营业务与其他企业相比具有内生的风险性,脆弱性和传染性,银行在世界各个国家都受到政府部门严厉的监管,包括市场准入制度,资本监管制度和存款保险制度等,而资本监管处于比较核心的地位。从被世界大部分国家所接受的资本监管标准巴塞尔协议的演变过程可以看出银行资本监管的核心思想是通过资本充足率约束来控制银行的杠杆,并允许符合条件的商业银行采用高质量的风险量化模型来核算风险参数和风险资产,用来确定资本充足率,并辅以严格的外部监督检查和信息披露制度。资本充足率监管的目的是通过限制银行的风险行为,保证广大储户存款的安全,防止出现银行业危机。在传统的经济学中有关稳定和效率相互替代的观点由来已久,从这方面考虑资本充足监管会降低银行的绩效,但从另外的角度考虑,资本充足监管可以降低银行过度承担风险的动机,降低银行运营的风险,同时还可以改善银行的经营管理,从而提高银行的绩效。在学术界对资本监管对银行绩效的影响还没有统一的结论。本文在从资本结构的角度,破产的角度,贷款损失准备的角度分析了资本充足率对银行绩效的影响,并收集了美国和中国的银行业最新的数据,运用面板数据模型对资本充足率监管对银行绩效的影响进行了实证分析,得出结论：在现有的资本充足率水平下,资本充足率监管对银行绩效的影响是正的,即银行资本充足率越高,绩效越好,同时资本充足率监管对银行绩效的影响程度和贷款损失准备的计提水平有关,贷款损失准备计提越充分资本充足率监管提高银行绩效的影响越明显。
[Abstract]:The essence of a bank is an economic organization that pursues the maximization of profits, but its special capital structure and business operation have endogenous risks, vulnerability and infectivity compared with other enterprises. Banks are subject to strict supervision by government departments in all countries of the world, including market access systems, capital supervision systems and deposit insurance systems. From the evolvement process of Basel Accord, the standard of capital supervision accepted by most countries in the world, we can see that the core idea of capital supervision of banks is through the restriction of capital adequacy ratio. Control of bank leverage, It also allows qualified commercial banks to use high-quality risk quantification models to calculate risk parameters and risk assets, to determine capital adequacy ratio, and to support strict external supervision, inspection and information disclosure systems. The aim of capital adequacy regulation is to prevent banking crises by limiting banks' risk behaviour, ensuring the safety of depositors' deposits and preventing banking crises. There has been a long history of substitution of stability and efficiency in traditional economics. Considering capital adequacy regulation in this respect will reduce bank performance, but from another perspective, capital adequacy regulation can reduce the incentive for banks to overtake risks and reduce the risks of bank operations. At the same time, it can also improve the management of banks and improve the performance of banks. There is no uniform conclusion on the impact of capital supervision on bank performance in academic circles. This paper analyzes the impact of capital adequacy ratio on bank performance from the perspective of capital structure, bankruptcy and loan loss preparation, and collects the latest data of banking industry in the United States and China. By using panel data model, the paper makes an empirical analysis on the effect of capital adequacy ratio regulation on bank performance, and concludes that the capital adequacy ratio regulation has a positive effect on bank performance under the existing capital adequacy ratio level. That is, the higher the capital adequacy ratio, the better the bank performance, and the influence of capital adequacy ratio regulation on bank performance is related to the level of loan loss preparation. The more adequate the capital adequacy ratio regulation, the more significant the effect of bank performance.
【学位授予单位】：上海社会科学院
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.42;F832.3

【参考文献】