知识与财富的链接
为深入研究资本约束对中国商业银行的信贷风险敏感性,并针对不同微观特征的银行的影响效果进行分析,本文选取了216家中国商业银行2006—2016年微观数据,采用随机效应模型进行实证检验。研究结果表明：上市商业银行资本充足率与信贷风险显著相关,资本充足率越高,信贷风险越低,但是非上市商业银行资本充足率与信贷风险相关性在统计上不显著;股份制商业银行的资本充足率与信贷风险显著相关,但是国有大型商业银行和城市商业银行的资本充足率与信贷风险在统计上不显著。由于银行异质性,资本约束对商业银行信贷风险敏感性存在差异。这一发现在一定程度上丰富了资本约束对信贷风险的影响研究,为政策当局协调好资本监管政策,注重银行微观特征,实施差异化的监管措施提供了参考。
To further study the effect of capital constraints on the sensitivity of credit risk of commercial banks in China,and the effect of different micro characteristics of the bank,the paper selects micro data of 216 commercial banks in China from 2006 to 2016,using a random effect model for the empirical test.The results of the study are shown as follows.There is a significant correlation between capital adequacy ratio of listed commercial banks and credit risk.The higher the capital adequacy ratio,the lower the credit risk,but the capital adequacy ratio of non listed commercial banks and credit risk is not statistically significant.The joint stock commercial banks capital adequacy ratio and credit risk are significantly correlated,but capital adequacy ratio and credit risk of the large state owned commercial banks are not statistically significant.Due to the heterogeneity of banks,the sensitivity of capital constraints show different effect on commercial banks credit risk.The findings may enrich the research of the impact of capital requirements on credit risk in a certain extent.Thus,the authorities should coordinate the capital regulation policy,pay attention to the micro characteristics of banks,and conduct different regulatory measures.
