摘要
基于我国41家银行2004-2012年的平衡面板数据,采用面板门槛模型实证检验资本监管对银行风险非线性的影响。研究发现:资本监管对银行风险表现出明显的门槛特征,两者呈非线性关系,但资本监管与银行风险在不同的阈值范围内都呈正相关关系,验证了"监管假说";本文估计出门槛值大于最低资本监管水平,这一发现启示监管当局应对银行施加适当的压力,提出银行达到最低资本监管标准具体的时限。
Based on the balance panel data of 41 banks in China during 2004-2012, this paper uses panel threshold model to empirically test the nonlinear effect of capital regulation on bank risk. The main conclusions are as follows ： regulatory capital has a clear threshold characteristic on bank risk and they show a nonlinear relationship, but in the threshold range of different regulatory capitals, bank risk is correlated with regulatory capital positively, verifying the hypothesis of ＂supervision＂ ; the estimated threshold value is greater than the minimum regulatory capital levels, which has some enlightenment to the regulatory authorities： regulatory authorities should apply appropriate pressure to allow banks to meet regulatory capital standards and put forward specific period of time for banks.
出处
《商业研究》
CSSCI
北大核心
2016年第11期61-68,共8页
Commercial Research
基金
国家社科基金重大项目
项目编号:13&ZD018
牡丹江师范学院博士科研启动基金项目
项目编号:MNUB201412
关键词
资本监管
银行风险
面板门槛
capital regulation
bank risk
panel threshold
