摘要
本文使用1998～2009年我国175家商业银行的资产配置数据,研究了资本监管制度对银行资产配置行为的影响。本文发现,现行的资本监管制度对银行资产配置行为具有重要影响,资本监管制度实施之后,银行依据自身资本水平调整资产结构,资本充足银行持有更多的风险资产,贷款比例较高;而资本不足银行则减持风险资产,贷款比例下降。此外,由于不同规模商业银行面临的融资约束不同,资本水平对资产配置行为的影响存在一定的差异,资本对城市及农村商业银行的约束效应更明显。本文的这些发现为监管当局的资本监管政策提供了经验证据,并提出进行差异化监管的政策建议。
This paper studies the effect of capital constraints on the behavior of banks＇ asset allocation in China. Using 175 commercial banks＇ unbalance panel data, we find out that capital regulation have important effect on the behavior of banks＇ asset allocation. The banks will adjust assets structure according to their capital status af- ter 2004. Capital-adequacy bank hold more risky asset, the loan ratio rise, however, the under-capital bank hold more riskless asset, the loan ratio decrease. We also find the difference of bank＇s asset allocation behavior between bank sizes. All these findings provide the evidence for the policy of capital regulation.
出处
《金融研究》
CSSCI
北大核心
2011年第4期65-81,共17页
Journal of Financial Research
基金
西南财经大学"211工程"三期建设项目资助
关键词
资本约束
资产配置
贷款比例
差异化监管
capital constraint, asset allocation, loan ratio, differentiation regulation
