资本缓冲与银行风险变动:周期性及多元化的视角
发布时间：2018-07-29 12:04
【摘要】：利用上市银行2002—2013年的季度数据,考察资本缓冲调整、宏观经济波动与资产价值变动之间的内在联系。研究发现:上市银行资本缓冲的顺周期性并不显著,但是其风险变动却对宏观经济的波动极为敏感;同时,资本缓冲的调整与上市银行的风险变动具有相关性,在宏观经济变动时,银行会因自身表内资产组合风险的变化而连续调整其资本缓冲。此外,上市银行表内资产的多元化程度较低,收入变动与风险波动的相关性较显著,所以,收入多元化依然是银行减少风险,提高市场竞争力的驱动因素之一。
[Abstract]:Based on the quarterly data of listed banks from 2002 to 2013, this paper examines the internal relationship between capital buffer adjustment, macroeconomic volatility and the change of asset value. It is found that the capital buffers of listed banks are not significantly pro-cyclical, but their risk changes are very sensitive to macroeconomic fluctuations, at the same time, the adjustment of capital buffers is related to the risk changes of listed banks. During macroeconomic changes, banks adjust their capital buffers continuously because of changes in portfolio risk in their own statements. In addition, the diversification of assets in listed banks is low, and the correlation between income changes and risk fluctuations is significant. Therefore, income diversification is still one of the driving factors for banks to reduce risk and improve market competitiveness.
【作者单位】： 首都经济贸易大学金融学院;
【基金】：北京市社会科学规划项目(14JGB073) 国家社会科学基金项目(15BJY171)
【分类号】：F832
，
本文编号：2152618
[Abstract]:Based on the quarterly data of listed banks from 2002 to 2013, this paper examines the internal relationship between capital buffer adjustment, macroeconomic volatility and the change of asset value. It is found that the capital buffers of listed banks are not significantly pro-cyclical, but their risk changes are very sensitive to macroeconomic fluctuations, at the same time, the adjustment of capital buffers is related to the risk changes of listed banks. During macroeconomic changes, banks adjust their capital buffers continuously because of changes in portfolio risk in their own statements. In addition, the diversification of assets in listed banks is low, and the correlation between income changes and risk fluctuations is significant. Therefore, income diversification is still one of the driving factors for banks to reduce risk and improve market competitiveness.
【作者单位】： 首都经济贸易大学金融学院;
【基金】：北京市社会科学规划项目(14JGB073) 国家社会科学基金项目(15BJY171)
【分类号】：F832
，
本文编号：2152618
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