摘要
本文通过分析资本监管和流动性冲击对银行资产配置的作用机理,并采用2013—2020年135家商业银行的微观数据,实证检验资本监管和流动性冲击对银行贷款、债券投资类和准备金类资产配置行为的影响。研究结果显示:在资本监管和流动性冲击的双重作用下,流动性冲击可能会弱化单一资本监管对银行贷款资产的减持效应,资本监管则可能强化了单一流动性冲击对债券投资类资产的减持效应;在资本和流动性的双重约束下,银行资产配置行为具有规模异质性和上市异质性;在不同流动性约束水平下,资本监管对银行资产配置行为的影响不一致,呈现非线性特征。监管当局应考虑不同监管政策的综合效应,把握监管力度,促使商业银行合理调整资产结构,推动经济高质量发展。
This paper analyzed the mechanism of capital regulation and liquidity shock on bank asset allocation,and empirically tested the impact of capital regulation and liquidity shock on bank loan,bond investment and reserve asset allocation behavior on the basis of the micro data of 135 commercial banks from 2013 to 2020. The result shows that under the dual influences of capital regulation and liquidity shock,liquidity shock may weaken the reduction effect of single capital regulation on bank loan assets,while capital regulation may strengthen the reduction effect of single liquidity shock on bond investment assets. Under the dual constraints of capital and liquidity,bank asset allocation behavior has heterogeneity on scale and listing,and the impact of capital regulation on bank asset allocation behavior is inconsistent and nonlinear on different liquidity constraint levels.
作者
孙志红
豆春芳
SUN Zhihong;DOU Chunfang(School of Economics and Management,Shihezi University,Shihezi,Xinjiang,832000;Corps Financial Development Research Center,Shihezi,Xinjiang,832000)
基金
国家社会科学基金“脱贫与稳增长导向下新疆民族地区特色小镇建设与金融资源配置研究”(17BJY049)。
关键词
资本监管
流动性冲击
资产配置行为
Capital Regulation
Liquidity Shock
Asset Allocation Behavior
