资本充足率监管对银行稳健性的非线性影响——基于面板门槛模型的分析

发布时间：2019-04-29 11:28

【摘要】：本文采用我国2005~2013年64家商业银行的微观数据,运用Hansen发展的面板门槛模型,研究了不同资本充足水平下,资本充足率监管对银行稳健性的影响。研究结果表明,我国商业银行存在资本充足率监管与银行稳健性的单一门槛效应,二者是非线性关系。上市银行样本中,不论资本充足率位于高水平还是低水平,资本充足率监管与银行稳健性均呈现负相关;在非上市银行样本中,资本充足率监管与银行稳健性的关系不仅存在门槛特征,而且在高、低两种资本充足状态下,资本充足率监管对银行稳健性影响的方向不同。因此,相关政策要综合考虑我国商业银行上市与否及其已有的资本充足率水平。
[Abstract]:Based on the micro-data of 64 commercial banks in China in 2005-2013 and the panel threshold model of Hansen development, this paper studies the influence of capital adequacy ratio supervision on the stability of banks under different capital adequacy levels. The results show that there exists a single threshold effect between capital adequacy ratio supervision and bank conservatism in Chinese commercial banks, which is a nonlinear relationship. In the sample of listed banks, whether the capital adequacy ratio is at a high level or a low level, the supervision of capital adequacy ratio is negatively correlated with the robustness of banks. In the sample of non-listed banks, the relationship between capital adequacy ratio regulation and bank conservatism has not only the threshold characteristics, but also the direction of the influence of capital adequacy ratio supervision on bank conservatism under the conditions of high and low capital adequacy. Therefore, the relevant policies should consider whether or not China's commercial banks are listed on the stock market and its existing capital adequacy ratio.
【作者单位】：山西财经大学经济学院;山西大学经济与管理学院;
【基金】：国家社会科学基金重大项目“我国发展实体经济战略、政策和制度研究——基于实体经济与虚拟经济数量关系的视角”(13&ZD018) 山西省高等学校哲学社科研究一般项目“股指期货市场的价格发现效率及其非线性动态过程研究”(2016202);“商业银行不稳定性分析与金融危机的触发及预防(2016237)
【分类号】：F832.33

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