摘要
本文建立了一个资本约束加强与银行风险承担关系的理论模型,使用2009年至2013年我国53家商业银行的财务数据,研究资本约束对银行风险承担的门限效应,并对商业银行内部经济资本水平进行分析。研究发现,资本数量约束和资本质量约束对银行风险承担均存在门限效应。资本数量方面,资本充足率的门限值为11.95%。资本质量方面,核心资本占总资本比例的门限值为69.93%。当资本充足率和核心资本占比低于相应的门限值时,加强资本约束会降低银行风险承担,反之则会增加或不能显著影响银行风险承担。此外,不同类型商业银行对资本约束的敏感度存在明显差异。
This paper establishes a theoretical model to improve capital constraint and bank exposures＇ relationship, based on financial data from 2009 to 2013 of 53 commercial banks to study the threshold effect of capital constraints on banks and analyze the economic capital levels. The study finds a threshold effect of both capital quantity constraints and quality constrains on bank＇s risk-taking, as the threshold are 11.95% of capital adequacy ratio and 69.93% of core capital to total capital ratio respectively. When the capital level is below the corresponding value, strengthening capital constraints will reduce bank risk, otherwise the bank risk-taking increases. Furthermore, there are significant differences in the sensitivity of capital constraints among different types of commercial banks.
出处
《国际金融研究》
CSSCI
北大核心
2016年第12期64-73,共10页
Studies of International Finance
基金
2015年重庆市博士后科研项目的日常经费资助(Rc201524)和特别资助(Xm2015105)
关键词
资本约束
银行风险承担
经济资本
Capital Constraint
Bank Risk-taking
Economic Capital
