摘要
为补偿风险资产的预期损失，商业银行要计提风险拨备，这一行为与资本监管、财务绩效、信贷周期等存在着密切的联系。因此，商业银行风险拨备行为的有效性取决于它们之间相关关系的性质。通过选用2005～2010年我国7家样本银行的相关数据，建立风险拨备率与相关变量之间的面板数据模型进行分析，结果表明，我国商业银行风险拨备行为与资本充足率、资产收益率、资产规模、不良贷款率等变量的相关性较强，我国商业银行风险拨备计提的自觉性较差，风险拨备不能充分反映资产的预期损失，具有明显的顺周期性。风险拨备行为的有效性不足。
To compensate the expected loss of risk assets , commercial banks usually draw risk provision , which has close relationship with capital regulatory , finance performance and credit retrench.So, the effectiveness of this behavior is depended on the character of their relationship.Through selecting seven banks ’ data from 2005 to 2010 and setting up penal data model about risk provision rate and related variables , the analyses appears that our risk provision has strong correlation with CAR , ROA, Asset and NPL, risk provision can not fully cover the expected loss, and the procyclicality is very clear.The effectiveness of our risk provision behavior is not adequate.
出处
《经济问题》
CSSCI
北大核心
2013年第12期40-43,共4页
On Economic Problems
基金
山西省高等学校哲学社会科学研究一般项目(2010226)
山西省软科学研究项目(2012041019-05)
关键词
商业银行
风险拨备行为
有效性
固定效应模型
commercial bank
risk provision behavior
effectiveness
fixed effect model
