摘要
本文使用国内14家上市银行2002-2012年的年度非平衡面板数据,利用单步系统GMM估计法,研究了经济周期和监管变化对银行资本缓冲、风险和绩效的影响,实证结果表明:(1)我国银行资本缓冲与经济周期呈现正相关关系。资本监管的变化使得银行资本缓冲呈现出更强的逆周期性;(2)我国银行风险的周期效应不明显,监管变化显著影响银行风险;(3)我国银行绩效的周期效应不明显,资本监管的变化对绩效影响不显著;(4)资本缓冲会显著增加银行的绩效,而其对银行风险影响不明显。
By using the annual unbalanced panel data of 14 domestic listed banks from 2002 to 2012,and adopting single-step system GMM estimation method,this paper studies the impact of business cycles and regulatory changes on banks' capital buffer,risk and performances.The empirical results show that:(1) Chinese banks' capital buffer is positively correlated to business cycles.Changes in capital regulation make banks' capital buffer more counter-cyclical;(2) The periodicity of banks' risks is not obvious,and changes in capital regulation significantly affect banks' risks;(3) The periodicity of banks' performances is not obvious,and changes in capital regulation have no significant effect on banks' performances;(4) Capital buffer can significantly improve banks' performances,while it has no significant effect on banks' risks.
出处
《上海金融》
CSSCI
北大核心
2014年第2期15-21,116,共7页
Shanghai Finance
基金
教育部新世纪优秀人才支持计划(NCEF-08-0609)
关键词
资本缓冲
风险
绩效
经济周期
监管变化
GMM估计
上市银行
Capital Buffer
Risk
Performance
Business Cycle
Regulatory Change
GMM Estimation
Listed Banks
