【摘要】：利用上市銀行2002—2013年的季度數(shù)據(jù),考察資本緩沖調(diào)整、宏觀經(jīng)濟(jì)波動(dòng)與資產(chǎn)價(jià)值變動(dòng)之間的內(nèi)在聯(lián)系。研究發(fā)現(xiàn):上市銀行資本緩沖的順周期性并不顯著,但是其風(fēng)險(xiǎn)變動(dòng)卻對(duì)宏觀經(jīng)濟(jì)的波動(dòng)極為敏感;同時(shí),資本緩沖的調(diào)整與上市銀行的風(fēng)險(xiǎn)變動(dòng)具有相關(guān)性,在宏觀經(jīng)濟(jì)變動(dòng)時(shí),銀行會(huì)因自身表內(nèi)資產(chǎn)組合風(fēng)險(xiǎn)的變化而連續(xù)調(diào)整其資本緩沖。此外,上市銀行表內(nèi)資產(chǎn)的多元化程度較低,收入變動(dòng)與風(fēng)險(xiǎn)波動(dòng)的相關(guān)性較顯著,所以,收入多元化依然是銀行減少風(fēng)險(xiǎn),提高市場競爭力的驅(qū)動(dòng)因素之一。
[Abstract]:Based on the quarterly data of listed banks from 2002 to 2013, this paper examines the internal relationship between capital buffer adjustment, macroeconomic volatility and the change of asset value. It is found that the capital buffers of listed banks are not significantly pro-cyclical, but their risk changes are very sensitive to macroeconomic fluctuations, at the same time, the adjustment of capital buffers is related to the risk changes of listed banks. During macroeconomic changes, banks adjust their capital buffers continuously because of changes in portfolio risk in their own statements. In addition, the diversification of assets in listed banks is low, and the correlation between income changes and risk fluctuations is significant. Therefore, income diversification is still one of the driving factors for banks to reduce risk and improve market competitiveness.
【作者單位】： 首都經(jīng)濟(jì)貿(mào)易大學(xué)金融學(xué)院;
【基金】：北京市社會(huì)科學(xué)規(guī)劃項(xiàng)目(14JGB073) 國家社會(huì)科學(xué)基金項(xiàng)目(15BJY171)
【分類號(hào)】：F832
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本文編號(hào)：2152618