Economic Theory and Business Management ›› 2012, Vol. 31 ›› Issue (3): 70-79.
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KE Kong-Lin-1, FENG Zong-Xian-2, CHEN Wei-Ping-2
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柯孔林1, 冯宗宪2, 陈伟平2
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基金资助:
国家自然科学基金项目“中国银行间市场风险传染机制及其宏观反馈效应研究:基于金融网络视角”(71103158);浙江省教育厅项目(Y201119608);浙江省高校人文社科金融学重点研究基地项目
Abstract: Lots of attention had been paid to the cyclical behavior of capital buffers in the aftermath of the global financial crisis By using a dynamic panel data model, this paper analyzed how business cycle and the determinants affect capital buffers The results showed that capital buffers of Chinese listed banks had countercyclical behavior from 2002 to 2009 However, the features showed no significant differences between state-owned and non-state-owned banks, which was mainly due to significant relationship between bank capital, risk-weighted assets and business cycle The channels of capital supplement such as governmental capital injection and listing financing were important external paths to increase capital buffers in the short term How to construct the marketoriented mechanism of longterm effective capital replenishment and determine the moderate range of capital buffers became a key issue of Chinese regulatory authorities and commercial banks in the postfinancial crisis era
Key words: macro-prudential , capital buffer , countercyclical behavior , dynamic panel data model
摘要: 国际金融危机的爆发引起了人们对银行资本缓冲经济周期行为更为广泛的关注。本文构建动态面板数据模型对银行资本缓冲与经济周期及相关决定性因素的关系进行估计。研究结果表明,2002—2009年,中国上市银行资本缓冲具有逆周期行为,该特征并未因商业银行产权性质不同而存在显著差异,其主要来源于银行资本金及风险加权资产与经济周期之间显著相关性的共同作用,政府注资、上市融资等资本补充渠道是短期内提高银行资本缓冲的重要外源途径,建立市场化的长效资本金补充机制、确定适度的资本缓冲区间是后金融危机时代我国监管当局和商业银行的重点议题。
关键词: 宏观审慎 , 资本缓冲 , 逆周期行为 , 动态面板数据
KE Kong-Lin-1, FENG Zong-Xian-2, CHEN Wei-Ping-2. A STUDY ON COUNTERCYCLICAL BEHAVIOR OF BANK CAPITAL BUFFERS——Evidence from Listed Banks in China[J]. Economic Theory and Business Management, 2012, 31(3): 70-79.
柯孔林1, 冯宗宪2, 陈伟平2. 银行资本缓冲的逆周期行为分析——来自中国上市银行的经验证据[J]. 经济理论与经济管理, 2012, 31(3): 70-79.
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http://jjll.ruc.edu.cn/EN/Y2012/V31/I3/70