摘要
文章基于1998-2012年我国113家商业银行的微观数据,采用联立方程模型实证检验了银行流动性创造与资本充足率之间的关系。研究结果表明:(1)资本充足率对流动性创造的影响在不同类型的银行中存在显著差异。对于大型国有银行,资本充足率对流动性创造的影响不显著;而对于全国性股份制银行和地方性商业银行,提高资本充足率会使流动性创造水平降低,这验证了"金融脆弱-挤压假说"。(2)流动性创造对资本充足率的影响在三类银行中均显著为负,即银行的流动性创造越大,其面临的流动性风险越高,但银行并没有相应地提高资本充足率。文章的结论为我国银行业监管当局制定合理的资本与流动性监管政策以及促进商业银行自身加强资本与流动性管理提供了重要的参考。
Based on the micro data of 113Chinese commercial banks from 1998to 2012,this paper empirically tests the relationship between banking liquidity creation and capital adequa-cy ratio by using simultaneous equation models.It comes to the results as follows:firstly,the effect of capital adequacy ratio on liquidity creation differs widely in different types of banks;the effect is not significant in large state-owned banks,while the increase in capital adequacy ratio leads to the reduction in liquidity creation in national joint-stock and local commercial banks,confirming the financial fragile-crowding out hypothesis;secondly,the impact of liquidity creation on capital adequacy ratio is significantly negative in all three kinds of banks,namely greater liquidity creation results in higher liquidity risk,but banks do not increase capital adequacy ratio correspondingly.The conclusions provide important reference for reasonable capital and liquidity regulation policy formulated by Chinese banking regulation authority and the advancement of capital and liquidity management in commercial banks.
出处
《财经研究》
CSSCI
北大核心
2014年第7期65-76,144,共13页
Journal of Finance and Economics
基金
国家自然科学基金一般项目(71273163)
上海市哲学社会科学规划项目(2012BJB011)
教育部新世纪优秀人才支持计划项目(NCET-11-0677)
上海财经大学研究生科研创新基金资助项目(CXJJ-2013-317
CXJJ-2013-312)
关键词
流动性创造
资本充足率
金融脆弱-挤压假说
风险吸收假说
liquidity creation
capital adequacy ratio
financial fragile-crowding out hypothesis
risk-absorption hypothesis
