摘要
1998年,我国银行业全面实施了以资本充足率为基础的资产负债比例管理。本文实证研究了以风险为基础的资本要求对我国大中型银行资本、风险水平变化的影响。本文运用三阶段最小二乘法(3SLS),利用14家商业银行的年度面板数据和经修订的、最初由Shrieves和Dahl(1992)提出的局部联立调整模型,分析我国商业银行资本变化、风险水平变化和以风险为基础的资本要求的关系,结果表明以风险为基础的资本要求能显著地降低我国商业银行的风险,但对提高银行资本的效果不显著。
In 1998 asset-liability-management based on capital adequacy was implemented in China. This paper examines the impact of the risk-based capital requirement on the capital and risk level of large-and-mediumsized commercial banks in China. Following the previous work by Shrieves and Dahl （1992）, the authors use three stage least square （3sls） method to analyze the relation between the bank capital, risk level and riskbased capital requirement. The empirical result indicates that the risk-based capital requirement has a negative and significant impact on the changes of risk level, but a positive and insignificant impact on the changes of bank capital in China.
出处
《金融研究》
CSSCI
北大核心
2006年第8期144-153,共10页
Journal of Financial Research
