摘要
中国2011年开始引入杠杆率监管指标来监管银行的行为,杠杆率指标不考虑资产的风险权重,有效地控制了资产从风险水平较低向高风险转变时所引起的资本充足率监管工具的失效。本文使用2007—2016年中国96家商业银行的经营数据,研究杠杆率监管对中国商业银行风险承担的影响,分析其引入之后能否缓释与弱化银行风险承担的问题。研究发现,随着杠杆率监管的引入,银行增大了对自有资本的持有比例,降低了银行风险承担程度,提高了银行的稳定性。并且杠杆率监管对商业银行风险承担缓释效应存在异质性。银行资产质量越差时,引入杠杆率监管对银行产生的风险缓释效果越明显。同时,也会给资产质量较好但杠杆率指标不达标的银行带来监管方面的压力。
In 2011,China began to introduce the regulatory indicator of leverage ratio to supervise the activities of banks.The leverage ratio indicator does not consider the risk weight of assets,but effectively controls the failure of the capital adequacy regulatory tool caused by the transformation of assets from low risk to high risk.Using the operating data of 96 commercial banks from 2007 to 2016,this paper studies the impact of leverage ratio regulation on the risk-taking of Chinese commercial banks,and analyzes whether it can slow down and weaken the risk bearing of banks after the introduction.It is found that with the introduction of the regulation of leverage ratio,banks increase the proportion of their own capital,reduced the risk-taking and improved the stability.Moreover,the regulation of leverage ratio has heterogeneity on the slow-release effect of risk bearing of commercial banks.The worse the bank s asset quality,the greater the risk mitigation effect of introducing leverage regulation.At the same time,it will also put regulatory pressure on banks with better asset quality but lower leverage ratio.
作者
张庆君
陈思
ZHANG Qingjun;CHEN Si(Tianjin University of Finance and Economics,Tianjin 300222)
出处
《经济与管理研究》
CSSCI
北大核心
2019年第3期29-44,共16页
Research on Economics and Management
关键词
杠杆率监管
商业银行
风险承担
资产质量
缓释效应
资本充足率
leverage ratio regulation
commerical bank
risk taking
asset quality
slow-release effect
capital adequacy ratio
