资本监管下我国商业银行的资产配置行为.pdfVIP

万方数据 万方数据 资本监管下我国商业银行的资产配置行为 摘要 本文研究内容是在我国日益加强的资本监管下商业银行如何应 对监管要求，配置银行资产以期达到监管要求和利润要求的问题。研 究采用理论与实证相结合的方法，先从理论基础展开，对资本监管和 资产配置相关的概念阐述开始，进而介绍国际相关监管文件《巴塞尔 资本协议III》和国内最新法规《商业银行资本管理办法》；在我国已 经公开上市的 16 家商业银行的公开财务数据的基础上进行实证研究， 通过描述性统计分析对我国商业银行总资产、信贷资产和资本水平等 数据进行比较分析，了解我国银行资产配置现状；再通过计量模型回 归分析了解银行资产配置与资本监管的相关性关系，其中选择信贷资 产在总资产中的占比和资本充足率/核心资本充足率分别作为资产配 置和资本监管的量化标准；最后根据实证分析结果对我国银行业监管 部门提出监管建议。本文主要得出结论我国目前现行的资本监管对银 行资产配置行为产生显著影响，但银行仍存在信贷资产权重过大，业 务构架落后等问题，针对这些本文对监管部门提出严格表外业务监管， 完善升级监管体系的建议。 关键词：资本监管，资产配置，商业银行，资本充足率，信贷占比 万方数据 ASSET ALLOCATION OF CHINESE COMMERCIAL BANKS UNDER CAPITAL REGULATION ABSTRACT The topic is the asset allocation of Chinese commercial banks under the more and more strict capital regulations. The research starts with brief introduction of theories concerning commercial banks ’ asset allocation and capital regulation; then it talks about international regulations including Basel III and domestic supervisory laws. With financial data of 16 publicly listed Chinese commercial banks it starts empirical study with status of banks’ asset allocation including important factors like total asset, credit asset, capital adequacy ratio and compares between different types of banks. The second part of empirical studies contains econometric model regression results analysis and focuses on the dependence relationship between banks ’ asset allocation and capital regulation which are represented by credit asset ratio and capital adequacy ratio. Last part is regulatory suggestions based on result analysis of empirical