中国经济转型期商业银行资本与风险行为研究——兼论巴塞尔协议在我国的实施效果
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财经研究 2008 年 第 34 卷第 01 期, 页码：52 - 62
摘要
参考文献
摘要
基于对商业银行资本与风险行为的理论阐释,采用市场化指数来刻画我国经济转型的制度变迁过程,文章对中国经济转型期(1991～2005年)商业银行的资本与风险行为进行了实证研究,并讨论了巴塞尔协议在我国的实施效果。研究结果表明:(1)商业银行资本与风险的变动存在着显著的正相关关系,银行在提高资本金占比的同时会增加高风险资产的占比,资本提高对银行风险行为有明显的逆向激励作用;(2)市场化指数与商业银行资本变动没有显著的相关关系,但我国经济市场化程度的提高会强化商业银行对风险的追逐行为;(3)在资本充足率监管没有得到严格执行的情况下,巴塞尔协议在我国的实施对商业银行资本的提高没有明显作用。
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[3]Calem P S,R Rob.The i mpact of capital-based regulation on bank risk-taking[J].Journal of Financial Intermediation,1999,8:317～352.
[4]Furlong F T,MC Keeley.Capital regulation and bank risk-taking:Anote[J].Journal of Banking and Finance,1989,13:883～891.
[5]Godlewski C J.Capital regulation and credit risk taking empirical:Evidence frombanks in emerging market economics[J].Journal of Banking Regulation,2005,6:128～145.
[6]Jacques K,P Nigro.Risk-based capital,portfolio risk,and bank capital:Asi multane-ous equations approach[J].Journal of Economics and Business,1997,49:533～547.
[7]Kahane Y.Capital adequacy and the regulation of financial intermediaries[J].Journal of Banking and Finance1997,1:207～218.
[8]Keeley MC,F T Furlong.Areexamination of mean-variance analysis of bank capital regulation[J].Journal of Banking and Finance1990,14:69～84.
[9]Ki m D,A MSantomero.Riskin banking and capital regulation[J].Journal of Finance,1988,43:1219～1233.
[10]Koehn M,A MSantomero.Regulation of bank capital and portfolio risk[J].Journal of Finance,1980,35:1235～1244.
[11]Marcus AJ.The bank capital decision:Ati me series cross-section analysis[J].Jour-nal of Finance,1983,38:1217～1232.
[12]Peltzman S.Capital invest ment in commercial banking and its relationship to portfolio regulation[J].Journal of Political Economy,1970,78:1～26.
[13]Ri me B.Capital requirements and bank behaviour:Empirical evidence for Switzerland[J].Journal of Banking and Finance,2001,25:789～805.
[14]Shrieves R,D Dahl.The relationship between risk and capital in commercial banks[J].Journal of Banking and Finance,1992,16:439～457.
[15]高洪星,杨大勇.经济转型期不良贷款与政策性贷款研究[J].财贸经济,2000,[10]:32～35.
[16]高铁梅.计量经济分析方法与建模:Eviews应用及实例[M].北京:清华大学出版社,2006.
[17]黄宪,马理,代军勋.资本充足率监管下银行信贷风险偏好与选择分析[J].金融研究,2005,[7]:95～103.
[18]康继军,张宗益,傅蕴英.中国经济转型与增长[J].管理世界,2007,[1]:7～17.
[19]李雪莲,李永辉.巴塞尔协议对银行经营行为的影响分析[J].财经研究,2003,[5]:8～14.
[20]马蔚华.战略调整:中国商业银行发展的路径选择[J].经济学家,2005,[1]:44～50.
[21]吴栋,周建平.资本要求和商业银行行为:中国大中型商业银行的实证分析[J].金融研究,2006,[8]:144～153.
[22]于立勇,曹凤岐.论新巴塞尔协议与我国银行资本率水平[J].数量经济技术经济研究,2004,[1]:30～37.
[23]张丽华.我国商业银行资本现状及提高比率的路径选择[J].金融研究,2004,[10]:69～76.
引用本文
吴俊, 康继军, 张宗益. 中国经济转型期商业银行资本与风险行为研究——兼论巴塞尔协议在我国的实施效果[J]. 财经研究, 2008, 34(1): 52–62.
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