资本约束对商业银行风险偏好的影响—来自中部某省份若干家商业银行的实证检验

发布时间：2018-05-12 23:29

本文选题：资本充足性约束 + 商业银行　；参考：《数理统计与管理》2012年06期

【摘要】：本文以滞后一期的自回归模型为基础,综合运用统计描连、单位根检验、协整检验等技术,针对2002年至2006年中部某省份若干家商业银行的数据,实证检验了资本约束政策的实施对商业银行风险偏好的影响。结论显示:资本约束对商业银行的风险行为选择的影响巨大,但是资本软约束会强烈抵消资本约束带来的正效应;中小型银行比大型银行更具有政策的敏感度,中国的商业银行体系应当进一步进行深入的市场经济改革。本文的创新在于:建立了一个信贷行为偏好指数来刻画商业银行的风险偏好,并把资本约束的实施与资本约束的软化引入计量模型,分别进行了总量检验与分类检验,从而得到了有中国特色的分析结论与政策建议。
[Abstract]:Based on an autoregressive model with a lag period, this paper applies the techniques of statistical linkage, unit root test, cointegration test and so on, aiming at the data of several commercial banks in a central province from 2002 to 2006. The effect of capital restriction policy on risk preference of commercial banks is tested empirically. The conclusion shows that capital constraints have a great influence on the choice of risk behavior of commercial banks, but soft capital constraints will strongly counteract the positive effects of capital constraints, and small and medium-sized banks have more policy sensitivity than large banks. China's commercial banking system should further carry out in-depth market economic reform. The innovation of this paper lies in the establishment of a credit behavior preference index to describe the risk preference of commercial banks, and the introduction of the implementation of capital constraints and the softening of capital constraints into the econometric model. Thus, the conclusion and policy recommendations with Chinese characteristics are obtained.
【作者单位】：武汉大学经济与管理学院;广州大学数学与信息科学学院;
【基金】：国家自然科学基金(70573079)资助武汉大学人文社科基金(20110202)资助
【分类号】：F832.33;F224

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