中国商业银行资本充足性管制有效性的实证分析

为了检验资本充足性管制对中国商业银行的资本充足率和风险的影响,在国外学者研究的基础上,构建了一个联立方程模型.根据这个模型,采用两阶段最小二乘法(2SLS),分析了中国银行业从2002~2005年的数据.分析表明:不管是资本充足情况较好的银行,还是资本充足情况不好的银行在资本充足性管制的压力下都提高了资本充足率;资本充足性管制促进了商业银行风险的降低.不过,这个效应正在减弱.

Empirical Analysis of the Impact of Capital Requirements of Bank Capital Ratio and Portfolio Risk in China

To test the effect of the capital regulation on the capital ratio and risk of Chinese commercial banks,we constructed a simultaneous model based on the previous work abroad.Based on the model and using the two-stage least squares procedure(2SLS),we analyzed the relevant data of Chinese commercial banks from 2002 to 2005.The analyses suggested that both the adequately capitalized and undercapitalized banks increased their capital ratios under the pressure of capital regulation,and that the capital regulation reduced the risk of commercial banks.However,this effect has been weakening.