资本充足率监管压力下资本与风险的调整——基于美国商业银行数据的实证分析

基于1998-2007年美国商业银行数据,利用局部调整联立方程组模型可对资本充足率监管压力下资本与风险的调整关系进行实证分析,重点考察在于资本"缓冲带"与表外规模对资本和风险的影响,实证结果表明:资本充足率监管对不同银行实行"差别待遇",为资本充足银行提供了监管套利的可能,因而没有达到理想的监管目标;表外业务对资本和风险水平的调整存在显著影响,尤其会扩大银行的风险轮廓.

On the Adjustment of Capital and Risk under the Pressure of Capital Requirement Regulation: An Empirical Study of the Data from American Commercial Banks

Based on the data from American Commercial banks from 1998 to 2007, this study uses the model of local adjusting simultaneous equations to analyze the relations of adjustment between capital and risk under the pressure of capital requirement regulation. Our focus is on the impact of capital "buffer strip" and the scale of off-balance sheet activities on capital and risk. Our empirical studies indicate that capital requirement regulation gives "differential treatment" to different banks, which makes it possible for banks capable of meeting the capital requirement to take advantage of the regulation, thereby failing to achieve the goal of regulation satisfactorily, and that off-balance sheet activities have a significant impact on the adjustment of capital and risk, the most obvious example being their ability to enlarge banks' risk exposure.